I can't guess if you opted out of Time Machine but https://discussions.apple.com/thread/1796755?tstart=0 is the usual. If there is no undo, then you create the folders and carry on.
I am on 10.12.3.
accidentally I deleted a folder under "On my mac" in mail and cannot find/retrieve, tried trash right away, nothing. I am trying to find it on backup but not sure where to look, did quite a few searches and nothing, searched for v2, v3 files and nothing. Is this folder lost or is there any chance to retrieve