Apple firmware does not navigate your music collection by directory structure, as Rockbox natively does.
You have two options.
1 - Don't use iTunes to manage your music, and use a proper tagger such as the (not free but well worth it) Tag & Rename to rename all the tracks on your iPod based upon their tags. (it can also create proper directories based upon tags)
2 - Continue to use iTunes and read up on Rockbox's alternative music navigation system called (simply) Database. It is well documented in the manual.