They don't need to be in the main directory, you just need to specify which folder they are on if you haven't already. For example, if before you used "/favicon.png", you'll have to write "/folder/favicon.png". Hope that helps, sorry if I couldn't explain it very well ^^;
I don't know if they have to be in the same directory or not, but moving files around can always be tricky especially if you're trying to load an image that's in a more general folder - I would double check all your ref links in the actual html pages and make sure they've been updated! And sometimes neocities is a little slow to show updates when you're changing locations too.
Try doing a hard refresh, sometimes websites rely a bit too hard on cache do a shift+F5 on the page and see if it shows
have fun!
Cya!