Make sure you are not using only a web icloud account Web-only access to iCloud - Apple Support
How do I get the full set of iCloud features?
If you have an iPhone, iPad, iPod touch, or Mac, you can get the full set of iCloud features. Simply sign in to iCloud. You get immediate access to all iCloud features and 5GB of free storage. From your device, you can upgrade to iCloud+ to access premium features such as iCloud Private Relay, Hide My Email, and HomeKit Secure Video support.*
* Not all features are available in all countries or regions.
The mail account should be configured with apple mail application Add email accounts in Mail on Mac - Apple Support
Then create folders and subfolders from www.icloud.com see the article Organise email with folders in Mail on iCloud.com - Apple Support
