If your Mac is using IMAP (not POP3) to connect to FM, then you can see all your subfolders in your Apple Mail client as well. Might be that you have to subscribe to your subfolders. You can do so in the "Account information" settings.
Back to your original question: Please check in your Apple Mail settings (cmd-,) if there are any rules that move messages to the folder you want to delete.
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