Are you directly adding them to that folder or are you adding them through your Custom > Templates option? If it's the former then that's your issue as those folder is not auto-backed up, but if it's the latter then those should be save as they are re-created upon auto-update. But again, it's only those that are created through the Custom Options Admin area and not just simply added their manually.
To protect files manually then use the featured that Rod linked to above.
For the benefit of other members I'm going to share my reply to Jon's support request (who posted a question above as well) as it may be helpful to some. He asked about protecting single Plugin template files placed in the root of the /wp-content/themes/dynamik-gen/ folder, and I replied with this solution:
"I believe you can accomplish this by adding these Plugin Template files through Dynamik > Custom > Templates. You'd need to set them as a "WP/Theme" template in the Template options for that particular Custom Template, but it should work. All you need to do is give the Custom Template the file name that matches the one of the template file you're adding, and then just copy/paste the content of that template file into the content area of that Dynamik Custom Template. That should create a custom template in the root of your /wp-content/themes/dynamik-gen/ folder and protect it upon auto-update. I haven't tested this our for Plugin templates, though, so be sure to test and let me know if that doesn't do the trick."