Answering both Fluffy863 and EmzPasha here… yes, there is a major bug with moving emails to folders in iCloud. In my case, I would say that about a third of the emails moved to folders on my Mac Pro download correctly on both my iPhone XS Max and my iPad Pro. A third. And it appears to be almost random.
I organize all my incoming emails on my Mac Pro into folders in a neat fashion. I've tried to move those folders to iCloud - the folders appear but there is no was to download a majority of the emails. Very frustrating indeed. I've tried one folder at a time, one email at a time, renaming folders, all the tricks of the trade, to no avail.
BTW all those emails ARE in iCloud in their entirety as I can see them on any Mac I use. I don't know if there is a workaround. I doubt it, but I will keep hammering at this issue.
It's a fact that Mail as always been plagued with bugs, even on Mac OS (less so on Mac OS nowadays though).