Where was this “New folder” located? Did you put in the app’s own data folder? There should be no circumstance where the itch.io app is deleting your files outside of its installation location, or libraries that it manages.
I don’t have the code in front of me right now, but I’m assuming that when the app updates itself it cleans out the installation directory to ensure that no remaining files from the previous install cause issues with running the new version. You should not store files in itch’s install directory.