Well, without actually answering the question (oh, okay then - it's because they usually match the branch and directory path in TFS of course, but you knew that anyway) what you really wanted to know was how to fix it.
Easy. You want to play with the rows in File - Source Control - Workspaces - Edit...
Specifically, instead of one row listing the TeamProject root like this:
| Source ControlFolder | Local Folder |
|---|---|
| $/MyTeamProject | C:\MyLocalWorkspaceRoot\ |
You want several rows, one for each solution you are currently working on, listing the actual solution file directories in TFS that you personally work with, and the - much shorter - local path you want to check out in:
| Source ControlFolder | Local Folder |
|---|---|
| $/MyTeamProject/Path/To/BranchXX/SolutionAA/ | C:\MyLocalWorkspaceRoot\XX-AA |
| $/MyTeamProject/Path/To/BranchYY/SolutionBB/ | C:\MyLocalWorkspaceRoot\YY-BB |
Now you get just the files you want, without clicking through 10 levels of empty directories.