I have checked this and can tell you that this working as designed.
Point is that Folder Data Connection can be a security issue and therefore is by standard restricted to "resource.type = "folder" and (user.roles = "RootAdmin" or user.roles = "ContentAdmin" or user.roles = "SecurityAdmin")"
This is set up in Security Rules - FolderDataConnection
The user cannot see this due this and in Help you can also read: "If the Folder option is not available, you do not have access right to add folder connections. Contact your Qlik Sense system administrator." https://help.qlik.com/sense/2.0/en-US/online/#../Subsystems/Hub/Content/LoadData/folder-data-connections.htm?Highlight=data connection
When you change the security rule you can allow users to access Folder Data Connection as well, but please be aware if the user may now have access to potential risk data.
Hope this answer your question.