Yes, I have encountered that issue while making a new app that used the WebUI-HTML brick. An example commented that an assets folder would be needed with an index.html file. In order to create the assets directory and the index.html file I had to add these items from outside App Lab.
After I went back into App Lab it was all fine.
In my case I set up a samba share. See:
I do not know if there is a plan to add features to AppLab to address this issue or if there is an expectation for one to leave AppLab to add files and directories. My guess is the feature will be added and we are just still in very early days of how AppLab will evolve and improve.