Might seem strange but that isn't created automatically by the game itself.

Upon fresh install there's no Mod folders at all unless you go the option screen, tick the box to use any, activate the empty 'Default' selection, leave the game and start another. Only then, would the program create the new folder for later use with all sub-directories at the ready state. Any other alternatives (created from scratch or simply unzipped from any given files in the library) will -or should-  be present in the option menu to select instead of the blank default.