My "Move To" menu is the same as my sidebar except for the following;
1 - each email account is listed separately at the top of the list.
2 - the smart mailboxes are not listed as they are automatic and you can't add an email to one unless it fits the rules of the smart mailbox.
All of my mailboxes that are in the "On My Mac" section of the sidebar are listed in the "Move To" menu in the same order.
If your "On My Mac" mailboxes are not in the same order as in the "Move To" menu boot into Safe Mode according to Start up your Mac in safe mode - Apple Support and see if the problem persists. Reboot normally and check again.
NOTE: Safe Mode boot can take up to 10 minutes as it's doing the following;
• Verifies your startup disk and attempts to repair directory issues, if needed
• Loads only required kernel extensions (prevents 3rd party kernel/extensions from loading)
• Prevents Startup Items and Login Items from opening automatically
• Disables user-installed fonts
• Deletes font caches, kernel cache, and other system cache files