Can someone please tell me where it is? I see Config and Content, intermediate and saved folders but no source folder, I have looked through them all too.
Your project won’t have a Source folder if you started it as a Blueprint project instead of a C++ project.
If you need to add C++ code to your Blueprint project after you’ve created it, that can be done by choosing Add New → New C++ Class… from the Content Browser. Doing so will create the Source folder and other required files and folders automatically.
In version 5.5 it appears the command is moved from the “Add New” to the “Tools” menu.