The option to "create a folder for this local project" should be available when "saving a project (aprx) as." This option is available (and seemingly recommended) when creating a new project, so it should also be available when saving a copy of a project to a new location. Since ArcGIS Pro projects create an unwieldy mess of ancillary files and folders, the only way I've found to effectively manage them is to quarantine them to their own folder using this option. The lack of this option in the Save As process appears to be an egregious inconsistency that encourages users to practice poor content management.