I have the same complaint. I think the email on the iPhone needs some more features. Anyone miss BCC?
I have a .Mac account with several email aliases. When I use Apple's Mail mail client, I can choose which address I want to use to send email "From" when composing an email message. This comes in very handy when sending email to persons you do not want to have your primary email account. That way, you can always turn off the alias later, and if that person tries to send you email, they would get a mailer daemon making it appear your account is inactive.
There is no way to configure email aliases on iPhone. There is also no way to transfer your email rules from Apple's Mail app. I use rules to sort my email into different "in boxes" according to which of my five aliases the message was sent to.
Hopefully, Apple will address these issues REAL soon in a software update for iPhone. Keep your fingers crossed!