Hi João,
First of all. There are no directories or folder support in Azure Storage Accounts. What you think is an folder is nothing more then the name of a blob containing slashes. So an empty ListBlobs action should return all 3 files (and probably does) namely my-directory/image-inside-directory.png, document.docx and book.xls.
You can use the Prefix parameter to start filtering blobs. So an value of "document" will return document.docx and a value of "my-directory" will return my-directory/image-inside-directory.png.
Please note that in Azure Data Lake Gen 2 there is folder support but this component should not fully support that though.
Hope this helps,
Vincent