Lightning Web Component -- Lightning bundles must have a parent folder named ! 'lightningcomponents'

Lets understand how the vscode extension for lwc works . Vscode extension invokes the CLI commands that the salesforcedx cli plugin provides .

In pilot release lwc folder was named as lightningwebcomponent and not lwc and hence prior cli version still use the same old reference .

Get the pre-release cli plugin by running sfdx plugins:install salesforcedx@pre-release

and when you run sfdx plugins you will see v45.0.xx if you have the latest cli .Now when you try creating an lwc component you should be fine .