The folder structure is different from 8 to 9 versions.
You can use the old folder (theme/styles/web/sass) structure if you want, but you need to compile using calypso.
Or you can just use a new folder (themesource/atlas-core/web/...) structure.
No need for sass compilation for the new folder structure.
Note: Download the latest Atlas_core module from the app store and map it to the theme folder. Please refer the below image
Yes, Mx8 to 9 made a big improvement. Styling is now for more incorporated into Mendix Studio, the folder structure has changed, it now facilitates per-module-styling, and you no longer need Calypso. Any change to a scss-file gets compiled by studio immediately.
Here is the manual for moving from Atlas 2 to 3:
this might help