Hi Unitiii,
As you can use different type of accounts in the Mail app, some accounts might limit the ability to create mailboxes from the app. If you keep getting this message, see if you can create a mailbox from webmail by accessing your email from a web browser. If this is an iCloud email address, see if it works from iCloud.com
- If it continues not to work and you are using iCloud, contact Apple Support here Get Support.
- If it continues not to work, or you are unsure how to access webmail or create a folder and it is a third-party account, contact the email provider or system administrator.
Take care.