Turn TryCreateDirectory() into TryCreateDirectories()

Summary:
Use case: TryCreateDirectory(GetDataDir() / "blocks" / "index") would
fail if the blocks directory was not explicitly created before.

The line that did so was in a weird location and could be removed as a
result.

Backport of core's PR9895

Depends on D892

Test Plan:

make check

Reviewers: schancel, #bitcoin_abc

Reviewed By: schancel, #bitcoin_abc

Differential Revision: https://reviews.bitcoinabc.org/D897