1) On macOS, you can create folders via Canary Mail > Preferences > Account > Folders > +.
2) You can delete folders via Canary Mail > Preferences > Account > Folders > Select the folder > -.
3) To add a sub-folder, go to Canary Mail > Preferences > Account > Folders > + > Select the folder under which you want to create a sub-folder > Write the name of the sub-folder > Click Create.