Sorry to bring this topic back from two years, but I think what the original poster and both see as confusing is that when a folder is open, there is no indentation of the channels within it. That makes it look like the channels aren't actually in the folder.
Unless I'm missing how to indent them manually
I wish graphic developers would still consider hierarchy and indentation (basically what we used to call outlines in English) an important visual reference for easy navigation. Having ana actual subset (i.e. something residing in a folder) and then not showing that visually is shooting your visuals in the foot. Does that make sense? It doesn't help one at all because the meaning of the subset is negated in the visual. The visual does not acknowledge the subset exists. But in use, the subset is very much there. This is why it was driving the OP crazy and he thought he was doing something wrong.
I've seen it far too much in "modern" interfaces. For instance Berlin SINE interface is infuriating!! So confusing visually. The SINE mixer is almost impossible to quickly navigate.
I have always liked VE Pro's interface (well, except for the original version which was along the lines of SINE, I'm afraid), but VE Pro still has room for improvement.
Thanks for listening!
M.