Hello,
launchers can be created on the Desktop and and then moved to a folder,
or create this small script in the /home/user/.config/caja/scripts folder (Ctrl H to show hidden folders )
#!/bin/bash
mate-desktop-item-edit ./ --create-new
and call it “Create launcher in this folder” and give the execution permissions.
In this way, from the context menu you can choose Script -> Create launcher in this folder.
Tested on UM 14.04 and 16.04