Can't Move Emails from Apple Mail Smart Mailbox View

I have a Smart Mailbox that filters down emails in my inbox to a certain subset. From that view it does not let me move any of the emails to real mailboxes (i.e., file them away). It's not that the option is not available. I can right-click, select move-to->, and pick a mailbox. Then it appears to move but immediately reverses the operation and the message is not moved.

Smart Folders seem pretty useless if you can't use them as a triage view and file away emails from there. This seems like a bug, rather than by design because it appears to work but then doesn't.

Anyone have any advice? Thank you!