To be that guy for a moment: well, hackchewally…¹
Directory entries do take up space in the MFT, but that doesn't show up in explorer which is only counting allocated blocks elsewhere. You will eventually hit a space issue creating empty directories as the MTF grows to accept their allocation.
You can do similar tricks with small files. Create an empty text file and check, it will show 0 bytes size and 0 bytes on disk. Put in ~400 bytes of text and check again: explorer will show 400 bytes in length but 0 size on disk because the data is in the directory entry in the pre-allocated MFT. Double up that data, and it will be big enough that a block on the disk is allocated: in properties in Explorer you'll now see 800 bytes length and 4,096 bytes (one block) on disk. Drop it back to 400 bytes and it won't move the data back into the MFT, you'll now see 400 bytes length, 4096 bytes consumed on disk.
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[1] though don't let this put you off enjoying the splendid thing overall!