After I started using the CloudBees Folders Plugin and moving jobs into folders, I noticed when I pushed stuff to github, builds were no longer triggered. I checked in GitHub and the Jenkins plugin was not enabled. I go to the job, save it again (the option "Build when a change is pushed to GitHub" is always checked and is the only method to trigger a build that's activated) and I see the hook is created, but after a minute or 2, it gets removed again. GitHub security log says the removal request comes from the Jenkins server.

Looking at the source code, I see where hooks are being removed:
https://github.com/jenkinsci/github-plugin/blob/49bc59d79707808d73eb0f9d5c97996fd5525d08/src/main/java/com/cloudbees/jenkins/Cleaner.java

Activating the log for com.cloudbees.jenkins.Cleaner I can definitely see it's Jenkins the one removing the hooks. Why is considering jobs inside subfolders as "not interesting" I have no idea.