No. Windows 11 does not provide a built-in way to create custom folders inside the All apps/category list and manually move apps into those folders while keeping that list alphabetized.
What Windows 11 does support:
- Pinned area folders only
- Folders can be created in the Pinned section of Start by dragging one pinned item over another.
- More pinned apps can be dragged into that folder.
- This applies to the pinned area at the top of Start, not the All apps list.
- All apps views
- The All section can be viewed in Category, Grid, or List view.
- Grid and List views are ordered alphabetically.
- The Start menu remembers the last selected view.
- No classic Start menu mode
- There is no built-in option in Windows 11 to switch to a classic Windows 7-style Start menu or fully customize Start to work that way.
So for the specific scenario described—creating a Games folder inside the alphabetical Start app list and moving game shortcuts into it—this feature is not available as a built-in Windows 11 feature.
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