Where is "Important" folder in Apple Mail?

Often when I go to Apple Mail I find a message in Junk which I move to All Inboxes. Seconds later it disappears.

Mail Search can't find it, but Big Sur Search finds it in a Folder labeled "Important" — a folder that I cannot see in Apple Mail or on my 2020 MacBook Air.

Below you can see mail location right of Sender in "Important" folder at 2:02 PM, but where is this "Important" folder?