I didn’t know you could do this. Dennis Sellers:
Navigate to one app that you want in the folder.
Press down and hold the Siri Remote or Apple Remote to select the app. It will jiggle when selected.
Drag your finger lightly on the trackpad to move the app and hover over a second app that you wish to place in the same folder. A new folder will automatically appear.
Press the trackpad on the Siri or Apple remote to drop it into the newly created folder.
Press the Home button on the Siri Remote to go back to the Home screen in tvOS.