Summary:
I have created, from within the Classic UI, a folder in which I can store my jobs. But when creating a new Pipeline from Blue Ocean, I don't see a way for me to store it there at creation time.

Steps to recreate:
1. From the classic UI, create a new folder. Name it anything you like:

2. Now from Blue Ocean, create a new Pipeline. Notice that there's no way to "locate" the new Pipeline in the folder you just created (or in any folder for that matter):