Initially the side panel "new view" link proposed to create view from the current context. If you were inside a folder, you had the possibility to create a view directly inside that folder.
But due to the missing "newView" web method inside View (what an irony), there was a bug: if you are inside a view (inside a folder or not), the link brings you to a 404 page.
After the correction of this bug (
JENKINS-48447), the other feature (creating a view inside a folder) was broken.
Workaround: You still have the possibility to create a view inside a folder by using the + button in the view tag list in the "main panel".