Dear Jan,
Good day! Thank you for posting your query in our community.
Based on your description, users could change the folder into a document set from the Details pane of the folder before. However, it's not available now. I tested it on my side, the result was the same as yours.
A workaround now is that you can click "Edit all" to go to the classic page of the folder, and change the type. You can check the following images:
And about this behavior, we didn't receive any report about the situation you encountered so far, and we have also searched a lot and we may not find any article about this behavior, given this situation, since we can reproduce the same situation as yours. I suggest you contact the administrator in your company if you aren’t the administrator and follow the steps in the article to open a ticket to double confirm this behavior. The engineers in related team have higher permission and resources than us to help check the root cause from background.
Appreciate your understanding.
Sincerely,
Jazlyn | Microsoft Community Moderator