It's a pretty old behavior, but I think it makes sense to fix it at some point:
1) Setup the non-existent folder as a workspace for JNLP slaves
2) Start slave from the user who has no permissions to create folders in the path
3) Start JNLP slave

Expected result:
1) Slave startup fails (like in SSH slaves)

Actual result:
1) Slave starts
2) Slaves accepts the builds
3) The builds fail