OS X Mail - Move mail out of inbox
A Smart Mailbox displays messages that are stored in other mailboxes
  and that meet certain criteria you specify.


Smart Mailboxes aren't really moving the messages anywhere. They're just referencing messages stored in other mailboxes.



I think what you should be using here are rules instead of Smart Mailboxes.


  You can create rules to help manage incoming messages and automate
  some tasks, such as replying to or forwarding messages. For example,
  you could create a rule to highlight messages from a specific person,
  or automatically move messages from your inbox to other mailboxes.


Use the same criteria you've specified for your Smart Mailboxes in the new rules to move messages from your inbox to other mailboxes.

Read more at Mail for Mac: Use rules to manage your inbox