Apple Mail not saving Smart Mailboxes
I filed a radar (rdar://13700673) with Apple and after a few mails back and forth they figured out how to solve the problem:

chmod -a 'everyone deny write,delete,append,writeattr,writeextattr,chown' ~/Library/Mobile\ Documents/com~apple~mail/Data/MailData/* ~/Library/Mobile\ Documents/com~apple~mail/Data/MailData/Signatures/*


Looks like I had some permission issues on that files.