It's not actually a difficulty, it's that way by design. The actual IMAP servers usually store their folders as either folders on the same hierarchy as the inbox, or as subfolders of the inbox. On servers where the folders are stored as subfolders of the inbox, you'd actually see the folders on the server (if you could go and look at them) as something like INBOX, INBOX.folder1, INBOX.folder2, etc., or even .INBOX, .INBOX.folder1, .INBOX.folder2, etc. Such a server requires a path specified properly in order for the retrieving program to lay out the hierarchy properly.
OK. Now, in Mac's Mail.app, the default behavior when you have multiple mail accounts is to group all the inboxes up at the top (Inbox will have a triangle next to it and if you click it it will show all your accounts' inboxes there), and put the folder hierarchies below in sections named for the account under which they reside. That way, all your new mail appears up at the top. If it didn't do this, then if you had a large number of folders (I have about 50, each with subfolders) in one account, you'd not even be able to see the inbox for your second and third and fourth accounts on the same screen; you'd have to scroll down just to get to your inbox for those other accounts. Similarly, the Sent boxes, Trash boxes, and Junk boxes are grouped at the top as well, again, for ease of use when you have multiple accounts. (In fact, the actual name of your Sent box may not be "Sent" at all, but rather some folder that the imap server knows is for your sent stuff. For example, for .mac accounts, the Sent folder is actually called "Sent Messages" on the server. You can see this (but don't do this unless you're ready to revert back the way it was) if you choose another folder on that account, go to the Mailbox menu and choose "Use this folder for ..." and choose Sent. After doing that, the old folder Sent Messages will appear in your hierarchy, since it is no longer being used as the sent box, and the new one you just told Mail to use as Sent is now the one that appears in the Sent section up at the top (even though it's actual name is not shown).
So, when Mail.app insisted that it put INBOX in the path field, that's because it noted that all your folders are actually subfolders of INBOX, and it wanted to use its default behavior to put the inboxes up at the top with your folders in their own section below. By deleting the path, you've forced mail to place your folders as subfolders of the inbox, as they really are on the server.
One of my accounts recently switched servers, and switched its imap implementation from having folders on the same level as inbox to having them as subfolders of the inbox. When the switch happened, all my folders moved under the inbox, preventing me from even seeing the inboxes for my other accounts! By putting in the path INBOX, they went back to their own section below.
Ultimately it's a matter of convenience for you, of course. If you have only one account, then it doesn't matter much whether your folders are under your inbox or in a different section. But as soon as you have more than one account, I think you'll find that keeping folders under your inbox is somewhat awkward. But it shouldn't hurt anything to do it the way you're doing it.
Also, with the new ability to create ToDos and Notes, you'll find they're put in their own section called Reminders, which again group by account. On the server, Todos are actually in a folder of their own called "Apple To Do" and notes are in their own folder "Notes". Yours must also appear under your Inbox, since you deleted the path which would allow Mail to place them "properly" in their own section.
Again, it's up to you how to handle things, but I know some people have found that they can't even access their mail correctly if the path field is not correctly filled in. That yours works is great, but it may not always continue to do so, so just keep in mind you might some day have to put in "INBOX" in the path field to get your mail to work right.
