Setups use a new improved naming system and have their own folder, so as not to share it with colours.
Using the three letter prefix makes it very much more convenient for setup download systems which sometimes had trouble with car names with spaces in them.
There is no built in auto copy and rename from old folder to new, because old setups are now invalid (a little or a lot) due to the reduced engine redlines in all cars and increased base camber on some racing cars. However, there are several batch renamers linked from this forum, if you do want to keep all your old invalid setups.
We didn't do this to **** you up, we did it because it's better than the old system!