when I right-click on a Folder, there's no option to create a File/Folder
As far as I know this is normal behaviour since the menu is requiring you to take action on the folder itself. However if you right-click outside of the folder structure you will get the "Create Folder" menu.
If you have a folder selected you can still create a new folder by going to the File menu and selecting "Create Folder" or by pressing Shift+Ctrl+N. After you have created the folder you could just drag it into the parent folder.
I understand what you want to accomplish but as far as I know that behaviour does not exist in Ubuntu or any other OS.