Hi @Garcia, Aaron M. (LD) (CON) ,
Per my test, I can reproduce your issue in my SP 2019:
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A user has posted this issue before:
In SharePoint 2019 - Web Part Library does not show a sub-folder name field to select, yet the help clearly shows this feature is available.
And some users also raised this issue to the official in SharePoint UserVoice. As mentioned, it is a place for customers provide feedback about Microsoft SharePoint products.
So I would suggest you vote and make your suggestion:
Document Library Web Part Folder Issue
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