Dear Olivier Dignard,
Based on my test, i found that the same result as yours. I'm afraid that the Search folder is not available in New Outlook preview. Please kindly understand that many functions of our current products are designed and upgraded according to customer feedback. At present, what I can do for you is to submit feedback for your request and I found a same post here. It's suggested that you could vote for it and you can also post your suggestions on that website. Hope Microsoft product team will notice this in the future. Thank you for your understanding and support!
Moreover, l would like to share some information with you, as Microsoft has specific community channel resources where our most valuable related professionals and community members can provide possible information for certain different scopes and support resources, would you mind connecting and placing your concern on our dedicated channel to learn more about from our related community members? See Contact support and provide feedback within the new Outlook for Windows - Microsoft Support. Because we are mainly focusing on the concern related to the old Outlook for Windows in this community channel.
Appreciate your patience and understanding and thank you for your time and cooperation.
Sincerely,
Tammy | Microsoft Community Moderator.