I have found the solution to this problem. The current folder must be included in the response body, and not only it's children. And Windows Explorer doesn't show the first response element.
What the XML from above should be:
<D:multistatus xmlns:D="DAV:">
<D:response>
<D:href>http://localhost:8888/Folder/</D:href>
<D:propstat>
<D:prop>
<D:creationdate>2014-04-22T12:30:30+15:00</D:creationdate>
<D:displayname>Folder1</D:displayname>
<D:getcontentlanguage />
<D:getcontentlength />
<D:getcontenttype />
<D:getetag />
<D:getlastmodified>
Tue, 22 Apr 2014 12:29:41 GMT
</D:getlastmodified>
<D:lockdiscovery />
<D:resourcetype><D:collection /></D:resourcetype>
<D:supportedlock />
<D:ishidden>0</D:ishidden>
</D:prop>
<D:status>HTTP/1.1 200 OK</D:status>
</D:propstat>
</D:response>
<D:response>
<D:href>http://localhost:8888/Folder/Folder1</D:href>
<D:propstat>
<D:prop>
<D:creationdate>2014-04-22T12:30:31+02:00</D:creationdate>
<D:displayname>Folder1</D:displayname>
<D:getcontentlanguage />
<D:getcontentlength />
<D:getcontenttype />
<D:getetag />
<D:getlastmodified>
Tue, 22 Apr 2014 12:30:31 GMT
</D:getlastmodified>
<D:lockdiscovery />
<D:resourcetype><D:collection /></D:resourcetype>
<D:supportedlock />
<D:ishidden>0</D:ishidden>
</D:prop>
<D:status>HTTP/1.1 200 OK</D:status>
</D:propstat>
</D:response>
<D:response>
<D:href>http://localhost:8888/Folder/Folder2</D:href>
<D:propstat>
<D:prop>
<D:creationdate>2014-04-22T12:30:44+02:00</D:creationdate>
<D:displayname>Folder2</D:displayname>
<D:getcontentlanguage />
<D:getcontentlength />
<D:getcontenttype />
<D:getetag />
<D:getlastmodified>
Tue, 22 Apr 2014 12:30:44 GMT
</D:getlastmodified>
<D:lockdiscovery />
<D:resourcetype><D:collection /></D:resourcetype>
<D:supportedlock />
<D:ishidden>0</D:ishidden>
</D:prop>
<D:status>HTTP/1.1 200 OK</D:status>
</D:propstat>
</D:response>
</D:multistatus>
More information here: http://www.webdav.org/specs/rfc2518.html#rfc.section.8.1.2