Distributed Monitoring - Slave Server Role, Wato Folder and Criticallity problem

Then your behavior is completely correct.
No central configuration means that this is no master slave setup but a independent installation with only Livestatus communication.
Your “central” system with where you want to configure the view don’t know anything about the WATO folder structure on your other systems. This will only work if your system has central configuration as then every slave has the same folders and your central system knows all this.