Hi,
Precisely so.
If a separate, external, test set is not appropriate, one can evaluate each fold in separation to investigate the property you are interested in.
When using cross validation in TMVA, a separate model is trained for each fold and saved in e.g. dataset/weights/YourModelName_Fold1.xml. These can then be used with the TMVA::Reader get the individual output (it is beneficial here to split on some external quantity e.g. an event ID so that the input to each fold is easily recreated).
Cheers,
Kim