Just noticed an interesting feature in Mail. I filter messages from a group on Radio Userland to a specific folder on the topic as well as retain a subfolder for news that my RSS aggregator emails to me so I can post from mail. I decided to move the folder and actually rename it as well. I thought that Mail would be smart enough to realize that I moved it and adjust the Rule accordingly. Instead, it re-created the folder (mailbox in Mail.app parlance) and the subfolder in order to correctly filter.
You can’t create a mailbox/folder while creating a rule, but the rule can create a mailbox if the reference changes…