Edit /etc/syslog-ng/syslog-ng.conf
# First, set some global options.
options { long_hostnames(off); sync(0); keep_hostname(yes); owner("root"); group("adm"); perm(0640); create_dirs(yes); dir_perm(0750); };

The last 2 variables are missing from the standard options
create_dirs(yes); dir_perm(0750);

So add these and restart using
/etc/init.d/syslog-ng restart