I am on Mac and have experienced unexpected behaviour too. I have been on Cubase since Cubase 8 and to my memory there has always been ‘promt for project location’ option or something similar. Then every time you create a new project it would ask you to create a new folder within a specified location. It seems now for Cubase 15 that if you select ‘default location’ then it does not offer to create and name a new project.
Anyway I have unselected ‘default location’ and it prompts me to create a new folder as usual. Possibly do the same untill its fixed or explained by someone. Thanks for posting.