hmm... not on mine.... and its repeatable, if I clean the card ... then again write settings will fail.
anyone else on 2.0, can you also try...and report results.
@tele_player can you format your sdcard (or at least delete the settings folder) and try again
perhaps you already had a settings directory some how?!
Id ask what OS your on, but having looked in the java code, there is nothing there to deal with a dir hierarchy - so that means if it is handled, it'll be in the firmware which is not OS specific(!?)
note: it does create the midi-out/midi-in subdirectories correctly, its just the top level settings directory its not doing.