The VDir (in another Vdir) will be correct created with no errors, but most of the time the VDir isn't visible in IIS?!?
Although it isn't visible, you can reach it! (example): http://localhost/VDIR/VDIR/something.aspx no error!!!
It looks like there is an User interface bug that hides the VDIR for some reason (security issue?)
So if you want to change options of that VDIR, you have to install MetaEdit (Tool for editing the IIS Metabase)
(install-link + more info)
Some other people had the same problems (source-url)