Hello David, welcome to pellesC forum.
Unfortunately this is a constraint (or a limitation) of the IDE. It requires that all the project source files must be located below the project directory.
You can create whichever directory structures, but they must be below the project directory.
Header files anyway can be everywhere.
I forgot to say that adding a file to the project means to put filename in the list of files to compile and link to the project, but no file copy,or move, is made.
Of course using pomake, or batch files you can compile files wherever they are on your disk. The limitation is only relative to IDE's projects.