It would be great if when you are saving a new project (as you are forced to do) if you could add a folder in which to put your project from the Save Project dialog box.
It seems that you have to do this in Windows Explorer before you open ArcPro. If you do it while ArcPro is open and you go back to save your project the new folder does not show. Closing the dialog box and opening it again does not refresh this. You have to close ArcPro itself and then open it again.
Even if you could refresh the folder list somehow without closing ArcPro it would be an improvement.
This Idea has been marked as a Duplicate of Give us back the basic ability to create folders within dialog! by Kory Kramer as that Idea was logged in September 2016. Please up vote that Idea.