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I don't use vim-plug, but looking at the tutorial and vim-plug's repo (https://github.com/junegunn/vim-plug), seems like it still advocates manually making a ~/.vim/autoload folder and then copying the plug.vim over there. So you don't have to make folders after that but you still need an initial creation. Personally this seems like a bad design choice and I would imagine they could just use the .vim/pack folder to install itself instead. Anyone knows what it still uses such an old method?
First, the tutorial is simply giving you bad advices. You should not be placing custom color schemes in ~/.vim/colors. You should instead be installing it like a plugin instead. Color schemes are just a type of plugins that only have a color folder (e.g. if you look at https://github.com/tomasr/molokai it only has a "color" folder and licenses etc).
This was fixed in https://github.com/vim/vim/pull/7193 but it's actually a recent change (January 2022) so I guess it made sense for vim-plug to just tell you to put it in the global autoload folder since for the longest time that's how it has worked. I still kind of wish they put the plug.vim inside an autoload folder so you can decide how to handle it yourself but maybe it's easier to find if you just place it at the root folder.