No there is not way to add folder structure.
You can copy up to 256 files (of 32 DX7 presets), other files will be ignored.
Then the preenfm sort them by alphabetical order.
While choosing your bank, use the 4 encoders. The one to the right will increase/decrease faster the bank number.
And once you have a nice sounding DX7 patch, don't forget to add a touch of stereo and use the randomizer, all set to "Keep" except 'modul' to add a bit of preenfm modulation
Then save it under a preenfm bank to store the new sound.
The DX7 import is limited, and i think it's best used as a starting point to create more interesting sound.
Xavier