Hi,
VisualGDB indeed does not have a separate menu command for creating physical folders. However, it will recognize the actual folders where the sources are located. E.g. you can try clicking Add->New Item, and appending “\subfolder” to the Location field. VisualGDB will automatically create subfolder, will place the new file there, and will show it in Solution Explorer.
We have rechecked the Group Sources by Types setting and it worked just fine – hid the Source files and Header files nodes as expected. Please try checking it on a newly created project without changing any other settings. If it works there, please try comparing the 2 projects to see if there is any other setting you could have changed that triggered this behavior. Please also make sure the project is saved after you change the setting. If you close Visual Studio without saving the solution/project, the setting will not be saved and VisualGDB will revert to the old behaviour next time you open the project.