I think its due to the fact that each call to xp_cmdshell spawns a new shell process and so the second call (2nd process) can't see the variable. Which explains why its works in the cmd shell as one statement.
You can try this, it works on my machine. Alter the path as required
declare @setdate varchar (100)
declare @CreateDir varchar (100)
declare @Filemov varchar (100)
--select @setdate='set folderdate=%date:~0,2%-%date:~3,2%-%date:~6,4%'
select @setdate = convert(varchar(11),getdate(),105)
select @CreateDir='mkdir C:\Test\' + @setdate
select @Filemov='move /Y C:\Test\*.txt C:\Test\' + @setdate
exec master..xp_cmdshell @CreateDir
exec master..xp_cmdshell @Filemov
Once you're happy you may want to specify with no output if you don't want it to interfere with a batch?