That's possible but you will have to fall back on the SDK method.
The following creates a new folder Test under the network folder and then moves the portgroup, called testPG, to that folder.
$datacenterName = "MyDC"
$newFolder = "Test"
$pgName = "TestPG"
$dc = Get-Datacenter -Name $datacenterName
$networkFolder = Get-View $dc.ExtensionData.NetworkFolder
$networkFolderImpl = Get-VIObjectByVIView $net.MoRef
# Create subfolder
$dest = New-Folder -Name $newFolder -Location $netImpl
# Find portgroup
$pg = $networkFolder.ChildEntity | %{Get-View $_} | where {$_.Name -eq $tgtPG}
# Move portgroup to folder
$dest.Extensiondata.MoveIntoFolder($pg.MoRef)