Folder for Measures

If you are using Live Connect to either another dataset or some form of Analysis Services then you cannot use TE to edit measures added to the report. TE can only edit the data model and when you are in live connect mode any new measures you create are stored with the report not with the dataset.

However if you switch to the model view in your report in Power BI Desktop (the one that shows the diagram of all the tables) then click on your new measure in the metadata pane you can set the display folder from there.