Xcode 7.2.1 Supporting Files folder missing
The Supporting Files group is not created for Swift-based projects.

For Objective-C-based projects, the folder usually contains main.m and maybe Info.plist (with related strings files).

You can always create your own group named Supporting Files and put whatever you want into it.

(Note: the Supporting Files entry never was an actual Folder, just a Group in Xcode)