Hello @janne.whitehead and welcome to the community!
The Folder Shield feature was just added on to the Trend Micro program when we released the latest version late 2016. Since this feature is still new there are limitations with the feature, particularly you can only protect 1 folder that is located on the Users when you go to the C Drive of your computer the Folder Shield cannot protect yet any other folders outside Users on the C Drive. But you do not need to worry, our developers are still improving this feature and we will release a new version of the Trend Micro program once all the enhancements and added features are done.
I hope this was able to answer your concern, please do not hesitate to post, comment or reply on this community. Thank you!