Update: An incident was started with ESRI for this. They said even though this previously worked in ArcMap, it wasn't supposed to be supported according to ArcMap documentation. So they will not support it in ArcGIS Pro, and listed it as a bug that Folder is listed as a supported dependency.
BUG-000113274 - ArcGIS Pro lets you select a dependency for parameters, even when the input data type does not support dependencies.