You can make a single level of "groups" of presets (what Adobe calls folders); groups cannot be nested inside groups.
To make a group, you must do it inside the Preset panel, not using Finder or File Explorer. To make a new group, select a preset that is to be in the group, right-click it, and do Move. Then click the Group dropdown and do New Group. Once the group exists, you can drag presets to it rather than using the Move command if you wish. You can only move or drag one preset at a time.
If you want to reorganize dozens or hundreds of presets, the free Fix Presets plugin will let you use Finder / File Explorer, though it's a little klunky.
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