This new small article of the MZ-Tools Articles Series documents a problem that happens creating a solution folder (VS 2005 or higher) belonging to an existing solution folder, that was reported in the MSDN VSX Forum and it was reported on the web long time ago too:

PRB: NotImplementedException adding a solution folder to a solution folder in Visual Studio from a macro or add-in
http://www.mztools.com/articles/2011/MZ2011002.aspx

I wouldn’t say it is a bug because a NotImplementedException is normally “by design” but anyway I have reported it to Microsoft Connect and maybe it is implemented or fixed in next Visual Studio versions:

Microsoft Connect: NotImplementedException adding solution folder to solution folder
https://connect.microsoft.com/VisualStudio/feedback/details/635048/notimplementedexception-adding-solution-folder-to-solution-folder

A possible workaround would be to create the child solution folder belonging to the solution too, and then drag and drop it over the first solution folder, but drag and drop operations can’t be done using the automation model (EnvDTE).

Update (Dec 3, 2013): see this new post with a full workaround