'Sync Mail accounts' does not, as you have observed, actually sync any messages: what it does is to sync the account setup details so that they can be synced down to another Mac and you don't have to set them up manually all over again.
As to the actual messages and mailboxes, there is actually no such thing as email syncing, it just looks like it. The messages live on the server (unless you take steps to download them) and can be read by any Mac, just like webmail. The Mail application can read what's on the MobileMe mail server, but the server can't read what't on your Mac, so mailboxes you create there can't be seen anywhere else.
