New mailbox not getting created in new macOS 10.12.1
I was having this issue as well, but stumbled across the answer, at least on my system. In the Mailboxes sidebar, try hovering over the name of the Mailbox within which you've tried to create new mailboxes...you should see a '+' as well as a 'Show' option appear to the right of the Mailbox name. Click 'Show' (not the '+'). The sub-mailboxes you've created should now appear beneath the main Mailbox.