Are you running Update 1?
I don't think the slashes pose a problem. I see that in my working stuff and apparently the system can parse them and not worry about them.
Try a connection to a single file rather than the folder of all 3. Don't worry about the preview on the feature source, worry about building a layer and adding it to a new map. In the Connection ensure a coordinate system is found or add an override. That is required.
I still find it odd that it hasn't created a config.xml yet. Before with the many files the system had to open each one to determine the bounds information and then write out the config. This was time consuming. With the new files you have this shouldn't take that long, but if you can watch the server process don't save until it is no longer busy.
Create the new connnection to a single file, check the coordinate systems and add an override, test the connection and watch the server process. When it stops processing hit save. Don't worry about the preview. Build a new layer, save it and add that to a new map. If things worked the coordinate system should be set and the bounds of the map should be set correctly. This means a config.xml was successful.
Dave