You may have already found this out (since it's now years later) but others may have this issue and the KB links provided are not helpful for this particular issue.
The issue here is that this is a SnapLock volume. Whether it's Enterprise or Compliance mode makes no difference. Paths/directories/folders in a SnapLock volume are immutable.
You are running into this issue because the default behavior of Windows Explorer when creating a new folder is to create a folder called "New folder" and immediatley prompt you to rename it, which you cannot do due to the path/directory/folder being immutable.
I am currently waiting for a response from NetApp to see whether there is a way to change this from the NetApp side as I don't believe it's a viable option to "train" users to create folders from PowerShell or a command prompt.