Why the Projects folder exists on Dolphin but not on System Settings?

Because you haven’t time-traveled to future yet! See kcms/desktoppaths: Add Projects directory (!3657) · Merge requests · Plasma / Plasma Desktop · GitLab.

This new XDG folder was added in the middle of the Plasma 6.7 development cycle. When support was added, it wouldn’t have been appropriate to backport to Plasma 6.6, as it’s not a bug fix.