Unity has access to your inbox, sent items and deleted items system folders - that's it. There's no way (from both a permissions and an indexing perspective for performance) that Unity can access other folders on the system and, of course, local folders a user may create to move messages into.
This is not a bug, it's how it has to be. If you move messages out of the inbox into a custom folder somewhere, even on the server, Unity has no access to them.
The overhead of parsing multiple folders and dealing with indexes (i.e. when a message is added to your inbox it's indexed by numerous criteria that Unity uses to give you counts and iterators through your inbox) would be mind-numbing. It'd basically be an error prone, painfully slow mess. And Microsoft wouldn't support us either - not a minor issue in this line of work.
