Mody:
The creation of the overviews is working opposite of what you are stating, by default. If I go with the default values for defining overviews, ArcCatalog creates the overviews in a folder at the same folder level as the file geodatabase where the mosaic dataset is stored. I need to change this setting to save the overviews into the file geodatabase itself.
Also, when I create the overviews in the file geodatabase, I do not see a directory with the <fgdb name>.overviews in Windows Explorer.