Bug when moving messages out of Smart Mailboxes
Continuing the closed thread Can't Move Emails from Apple Mail Smart M… - Apple Community ...
This is a bug. There is no green circle with a white plus sign indicating it's making a copy rather than moving the email. (However, if for example I hold down the Option key I do see the green circle with the white plus sign.)
Furthermore, moving messages out of a Smart Mailbox and into another email account seems to corrupt the underlying database(s). I've needed to rebuild them a few times since attempting this maneuver.
This is just one of a number of bugs in Apple Mail regarding movement of IMAP messages between folders and accounts. I (and others) have been posting bug reports to Apple for years about these problems, to no avail.