As I understand, you cannot move folders to a SharePoint library using Microsoft document connection on a Mac.
Microsoft Document Connection is a SkyDrive and SharePoint connection tool introduced with Office 2008 and upgraded for Office 2011. It offers an easier way for Mac users to interact with SkyDrive and SharePoint files such as drag-and-drop uploading and
downloading as well as rich application support.
But, to make it clear that Document Connection, when connected to SkyDrive, is not the equivalent of SkyDrive. Like SharePoint, its an access and collaboration point for files. Users cannot make new folders, nor can you move files around your SkyDrive or
SharePoint with Document Connection.
You could access your SharePoint through your web browser to make such file management changes.
The article below is about how Microsoft Office for Mac 2011s Document Connection Made This Moms Life Easier.
The article below is about SharePoint: Work with Documents using Document Connection for Mac OS.