With pms-mlx the concept is a bit different than with pms; the web folder is not automatically added, you have to add it yourself where you want it to be. For this navigate to the Media Library Tab and select the Tree view (which represents the files and folders how they'll be displayed on the renderer). There you can right-click on any folder and choose add Web folder from the context menu. A dialogue will open asking for the web.config file path to use. The advantage of having a web.conf for each folder lets you add multiple web folders with different configurations.
Hope it clarifies the functionality