I'm also disappointed by the lack of folders.
You are not alone! I believe they just have some issues with photo sharing from computers currently. Trying to view photos can take minutes before the "albums" actually load and show. Hopefully they can fix that up, as everything else (Music, TV, Movies) is fairly fast. Below is what I had posted elsewhere:
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Selecting photos from my Computer takes a considerable amount of time before anything is shown. It does eventually show the albums, but after a few mins. **
Note that I hate how Apple TV does not support sub-folders in albums. For instance I have my photos organized like this:
d:\pictures
d:\pictures\christmas
d:\pictures\christmas\2005
d:\pictures\christmas\2006
d:\pictures\disney
d:\pictures\disney\2005
d:\pictures\disney\2006
It collapses all the christmas pictures into one album. Same for disney. Wife hates this, as do I. Wish they just had a "folder" view that supported sub-folders and such. Would be awesome then! See a lot of complaints on this around the net.