messages become unfiled
Mail spontaneously moved about 4,000 messages from the mailboxes in which I had filed them to All Inboxes. When I try to re-file them, Mail moves them back to All Inboxes.
Greetings!
Try to Rebuild the Mailboxes: Sometimes, Mail app mailbox files can become corrupted, which can cause strange behavior. You can try rebuilding the mailbox by selecting the mailbox that's causing the issue, then choosing Mailbox > Rebuild.
Or check your Rules section, under Mail > Preferences. And on the provier side as well (web version through browser)