The create folder API is a savable data page, D_pxNewFolder. The API represents the new folder as a data page when the data page is loaded. To create a folder with this API, pass in the following parameters:
repositoryName- the name of the repository in which to create the file
folderPath- the path to the folder to be created relative to the root path of the repository
To create a folder, save the savable data page.
So when you tried this Data Page have you saved this Data Page?
Through Actions-->Run, i ran the data page and passed the paramters as "pegacloudfilestorage" and "/attachments/New Folder". But i cannot see the folder their while choosing repository in "Integration and Security" tab.