I had the same problem. Looks like SW4STM32 does not include mkdir. C:\Ac6\SystemWorkbench\plugins\fr.ac6.mcu.externaltools.arm-none.win32_126.96.36.199703061525\tools\make only includes rm.exe, echo.exe, make.exe and sh.exe on my system. I installed MinGW and copied mkdir.exe from msys to this directory. After that the makefile could use mkdir.
But is there a more elegant solution to this?