Hmm ... that's not Pegasus Mail you use to read your IMAP-Folder! Oh - I see - Thunderbird behaves like that.
On creating an IMAP-folder with Mercury as IMAP-Server, in this process you decide, if the folder will be a folder containing mails or a folder behaving as a tray. Once a folder is declared as holding mails, you can't create a "trayfolder" or "mailfolder" beneath. Thunderbird knows about and disables that option in contextmenue if you are pointing to such a "mailfolder".
I asume you have problems to create any folder. In Thunderbird you have to rightclick on the name of that account at top of that mailbox. There you may create a folder and decide in course if it is a "mailfolder" or "trayfolder". Beneath a trayfolder you may create more folders of what ever type by rightclicking there.
bye Olaf