How does iOS 5 decide what mailbox to watch for new mail?
I don't know that this is defined anywhere, but it has been my observation that you will be notified about new mail in the folder you are browsing in the mail client and in the inbox but no other folders.  So if you're reading messages in folder B and then put the phone sleep or switch to another app, you will be notified about new messages in the inbox and new messages in folder B but not new messages in folder A.  If you are reading messages in the inbox, then you won't be notified about messages in any other folder.