Are we seeing the same thing? It isn't that the "New Folder" button isn't pressed -- that works fine and the "Type a name" dialog comes up. But if you don't do anything at that stage, just leave the dialog on screen, KM will then report that the "New Folder" button was never pressed.
It's as though it's a two-stage process, with "Press button" going through but KM not getting "Button has been pressed" back. If you "Cancel" the "Type a name" dialog quickly enough then the macro continues without error, and I guess it would if you "OK"ed it too.
If you watch the "New Folder" button it remains highlighted while the "Type a name" dialog is present. What that really reminds me of is Hypercard's (that dates me!) "Button Down" and "Button Up" events -- like KM is waiting for an "Button Up" event to know the button has been successfully pressed, but "New Folder" doesn't return that event until the new folder has been created (or the naming dialog cancelled).