Members Can't Create Folders Through WebDAV
The WebDAV "make folder" method, MKCOL, requires the "Add Folders" permission. This is not normally granted to Members or Owners on the site.
In the Zope Management Interface, under the "Security" tab for the Plone root, check the "Owners" box for the "Add Folders" permission setting.
Discovered and tested in Plone 2.5.3.
Much thanks to joelburton from #plone on IRC for helping me with this.