There is no need to create the folders before performing a Public Folder migration. MigrationWiz will create all folders from the root to the folder being migrated. However, only the folder being migrated will have proper permissions set and will be mail-enabled (if appropriate).
If you do create the folders before performing a migration, the type of the folder has to be correct. This means that if you are migrating a Contacts or Calendar items folder, then the folder has to be created as a contact or calendar folder. This cannot be done from the current Exchange Online UI. It has to be done through PowerShell. If the folder is not of the correct type, then no items will be migrated into it (e.g., mail items cannot go into a Contacts folder, and vice versa).