Michalis,
I'm new to this myself but as the coders and knowledgeable web gurus don't
seem to be answering any queries (maybe they are busy due to it being the
holiday season?), I'll offer my input.

After adding project name and clicking on 'next', on the next page where you
enter the URL's, at the top, there is a dropdown menu. The default is,
"download website," (I'm paraphrasing as I'm going on memory). It sounds like
you have selected instead, "copy/download individual folders." 

Please let me know if this helps. Even though pages are in different local
folders, are you still able to view them in a browser?
Best regards,
Brian