Xcode 6: No Frameworks Folder in Project Navigator
In Xcode 6, the Frameworks folder is not added by default. You can drag and drop your .framework files into the project navigator (tick 'Copy items if needed'), then select them all > right click > "New Group from Selection" and name the folder 'Frameworks'.
Also, make sure the frameworks are added into the Project > Build Phases > Link Binary With Libraries. If not, drag them there from your newly created 'Frameworks' folder.
In short, no, you shouldn't need to create a Frameworks group yourself as Xcode is doing stuff automatically for you...
Apple are slowly, gently pushing developers in the direction of newer Clang features with the goal of making native iOS development more approachable for newbies who don't have previous experience of compiling and linking with C-based languages.
You'll find that Objective-C projects created with Xcode 6 have new build settings enabled by default including Link Frameworks Automatically (CLANG_MODULES_AUTOLINK) and Enable Modules (C and Objective-C) (CLANG_ENABLE_MODULES).
Suggested reading:
- Modules (Clang documentation)
- @import vs #import - iOS 7 (excellent Stack Overflow answer)