(For anyone not aware, this is related to my guide Making a Unique-Voiced Follower in Skyrim.)
That is actually not a problem. Everything should work fine like that.
The reason they are going into other folders is down to what Quest they’re in. When you’re copying another NPC follower’s bits of dialogue that’s part of a Quest that’s native to the Skyrim “mod”. So it lives in the Skyrim.esm directory. Any dialogue that’s part of a quest you create from scratch, however, lives in your mod and so goes in MyMod.esp.
I talk more about this in steps 8 and 10 in Part 10 of the guide.