No. You do not have to be inside incoming.
The factory samples folder seems to be write protected and you get “error” if your try to create a folder inside.
Just press function+track and go to samples.
You should see both “factory” and “incoming” folders. If you see anything else you are inside a folder. Back out of the folder (Hit YES on the “…”)
Once you see the folders the press the right arrow key and select create dir.
Hope that helps.