Why can't I create an IMAP folder in Mail?
You need to add these folders in your IMAP mail account.

If for example you are using Gmail login, and create the folders you want using the webmail settings panel. 

When you next launch mail the folders will be there and you can then drag and drop emails into folders, etc.

Outlook doesnt create the folders in IMAP it creates them on the machine, so they are not true IMAP folders they are just folders in Outlook.