The folders are created when you start a transfer, except if you use Krusader, not sure if mc does the same, but if you use for example Windows explorer it will only create the folders as needed, so it won't cause split level problems, since the folder will be created in the disk it should be.
Note that now you'd first need to delete all the empty folders before transferring, or because of the split level setting it will copy to the disks where the folders already exist.