Where can I find my folders?
Missive fully supports folders and sub-folders (they are called Labels in the Missive interface, but they really are the same thing). You just need to open the + More menu in the left sidebar to list all your available labels, grouped per email account. When you click on a label from there, it will get pinned to the sidebar.
You can also open/pin all your folders hierarchy by clicking on the Open all option.