Hmm, my Windows accepts both kinds of slash as folder delimiter, but perhaps the Windows variant of PM is stricter than Windows itself is.
That's odd, all documentation on Windows filenames found on the internet (including the
“official” documenation) mention the forward slash as forbidden part of a filename (just like e.g. <, >, :, etc., all of which are actually fine on Mac/Linux, even if a bit cumbersome for some).
My guess is that you can use it (Windows is becoming more Unix friendly in that way), but that underwater it is changed to a backslash. So it will still act as a directory level separator, not as a filename part.
It is not clear to me if the OP wants to address one folder named "2019/07/20" or a first folder "2019", a second sub folder "07" and a third sub sub folder "20".
I assumed he wanted them to form the name or otherwise he wouldn't have complained about the change to backslash.