Move Inbox mails to new Mailbox in Exchange 2007 not moving emails

I've been using Mail with Exchange 2007 and works fine, but I notice that if I create a new Mailbox and then drag-and-drop email from Inbox (or any other folder) to that Mailbox it will do a copy of the email but not an actual move. So I end up with two copies of the emails. I've even tried with the "Move To" options but the same behavior.

If I go to Outlook and do this move and reopen Mail, it recognize the changes without any problem.

Is there a way to actually move emails from Inbox to another Mailbox using Mail?

Thnx.