You can create subfolders for a long time in the Yandex.Mail service. One problem - using the web interface, it is impossible to put an already created folder in another. Support reports that there is no way.
But there is a way out:
1. Connecting to Yandex.Mail by
IMAP mail client (in my case, Outlook);
2. With the help of the client, you can move folders to the right place;
3. Cheers! Folders structured as necessary!