I don't use Anon FTP, but the Wiki only outlines permissions regarding folder access and file up/download; not folder creation or deletion. At first glance, it appears that folder creation is not allowed.
The more I think about this, the wiser it seems to not to allow folder creation. Some unwanted user could start creating hidden folders or ones with odd characters, then load your site up with unwanted stuff that won't be immediately detectable or removable. And an added folder would need Upload rights for it to be immediately usable; also an unwise idea in an environment where some may never want a writable folder.