retroarch allows only one folder to define where the save states are stored
I think you are wrong on that point. Retroarch allows you to save a configuration for each core. And in this configuration, you can define the saves folder. You can automatically customize this in Windows.
Theoretically (as I have never tested), you can customize this in Recalbox in the same way, you just need to navigate the Retroarch menu, and define the saves folder. The path in the Retroarch menu in Recalbox and Windows is the same.
Apparently you are disregarding the possibility of creating a customized configuration file for each emulator/core, and for that reason you are not succeeding: if you use only one configuration file, there is no way to put more than one path...