I do the the "Into Subfolder" check, but I don't see where you can choose destination.
Where are your Files importing in Lightroom?
Right click on any of your recently edited pics and select "Show in Finder/Explorer"
They used to import as subfolders under the "Photos" folder. Now you can see that they are importing above that folder. The folder with 3 photos called Chicaog was was created upon editing three photos that were sent to photoshop from Lightroom for edit. The were orginally in the subfolder under photos called Chicago 2014. Lightroom made the the folder with the 3 photos in it when I saved them in Photoshop as PSD files.