I tried with a Lua project and a C project and both times when I launch the simulator 3 empty folders are created from were I launched the game Data, Games and Screenshots.
When I make sim only build on the C projects the folders are not created.
Are you sure you have the PLAYDATE_SDK_PATH environment variable set? Because it sounds like it's failing to find the $PLAYDATE_SDK_PATH/Disk path so it's defaulting to the current directory.