Ahh, sorry I just realised I missed that the folder was empty. Yes, this would be a known constraint. NCrunch identifies file dependencies using MSBuild, so if there is no file in the folder, it won't be represented when the project is loaded.
The easiest way to work around this is to just add a step to the pre-build event that will create the missing folder if it doesn't exist, or otherwise make the step conditional on the folder existing.