I think this is a bad behavior of TheIDE. When choosing "Insert Package Directory File(s)", it gives that strange message when you try to choose a folder out of the package directory. It would be better that just left side folders rectangle would not appear, like in the image:
In U++ it is a good thing to put all the project files in the package folder or under it.
If in some strange case you need to add a file outside it, choose
in LHS window the option "Special/Insert any file(s)".
Ah, ask as much as you like. We are here to help (but try to choose other place in the Forum like "Community/Newby corner".