It's not 'removed', it's just not created unless you tell it to.
By pointing it at the Source path\folder, you've told it to copy the contents of the folder you've pointed it at. (Imagine if you had pointed it at D: - would you expect it to replicate the drive letter too? No, you would (I hope) want the contents of the drive...)
If you want it to replicate the folder name on the Destination (and put everything inside it), simply add the same folder-name to the end of the Destination path. It's optional, because some people might not want that (if backing up to a dedicated flash drive, the folder-name may be just an unwanted nuisance if duplicated), but because it's optional you have to add it if you do want it.
Example: with Source: C:\...\My Documents\
Dest: X:\whatever\
will get what you're posting about, whereas
Dest: X:\whatever\My Documents\
will get what you want
By pointing it at the Source path\folder, you've told it to copy the contents of the folder you've pointed it at. (Imagine if you had pointed it at D: - would you expect it to replicate the drive letter too? No, you would (I hope) want the contents of the drive...)
If you want it to replicate the folder name on the Destination (and put everything inside it), simply add the same folder-name to the end of the Destination path. It's optional, because some people might not want that (if backing up to a dedicated flash drive, the folder-name may be just an unwanted nuisance if duplicated), but because it's optional you have to add it if you do want it.
Example: with Source: C:\...\My Documents\
Dest: X:\whatever\
will get what you're posting about, whereas
Dest: X:\whatever\My Documents\
will get what you want