Problem migrating mailboxes to Mountain Lion
Have you tried doing like this?


Navigate to: Macintosh HD → Users → Your User Folder → Library.
Now you need to copy the Mail folder, as shown below. (Yes, the entire folder.)
You should also copy the preferences file for Mail.app. Here's where you can find it: Macintosh HD → Users → Your User Folder → Library → Preferences. The name of the file is com.apple.mail.plist.
Copy the Mail folder and the preferences file to the Library and Preferences folder. Make sure that the folder and file are in the correct location!


Source: 
http://www.macinstruct.com/node/183