That is correct, custom folders are not supported at this time so you'll have to pick one of the predefined folders. Support for custom user folders is something we plan to consider in a future version.
I'm trying to import custom HDRi's into Marmoset TB. I've managed to convert them into .tbsky files, and I can add them to library by pressing the library button. But Marmoset is forcing me to place them in one of their predefined categories. See this image: What I really want is to be able to create my own categories so I…