These folders could be produced much like normal folders by right-clicking > New Folder... after which toggling the "Advanced >>" button to exhibit the virtual folder option.

Because the folder is not situated within the file system, just curious regarding exactly how would be the files saved after i drag these to this virtual folder, and what are the differences / purpose from the normal folder?

You are right, they need to exist around the file system somewhere :-)

AFAIK linked assets are produced for that files within virtual folder. Which means they point to a great path around the filesystem, outdoors from the workspace. Should you slowly move the file within the filesystem, it will get damaged.

See Virtual folder for any beginning point.