Ugo, upgrade your X-T2 to firmware 4.20. Then in the SET UP menu, go to SAVE DATA SET-UP. There, you will now find SELECT FOLDER menu, and finally, the CREATE FOLDER function. When you name and create the new folder, it is automatically selected, but you need to actually take some shots to complete the process. So if you create a folder, but don't actually use it, the folder won't show up in the SELECT FOLDER list. Folder creation can only be done when dual cards are set to sequential mode. Hope this helps.
I have an XPro2 and a GFX and get the error message on both. In the case of the GFX it occurs with the 23mm only, and occurs 100% of the time. In the case of the XPro2 it occurs intermittently with all lenses.
I worked as a newspaper shooter for almost 50 years (Nikon for the first 35 years and then Canon) and can't recall a camera body letting me down.