After using 3 versions including Jellybean version of Android I couldn’t find a way to create a folder in any of the home pages. No menu button and long press on the home page just resulted in the option to change the wall paper, nothing more nothing less.
The version that came with Moto E is KitKat 4.4.2 and the problem probably exists on Moto G and Moto X. Searching with google just resulted in links with statement of the problem but no ‘solved’ postings.
The solution which I found intuitively is to drop the icon from apps over another. Now both the icons will be inside a folder automatically. Quite frustrating when previous version behaviour is removed without any easy alternative.
note: first post from WordPress for Android from my MotoE.