On My Mac Mailbox folders gone on new MacBook Pro
I just got a new MacBook Pro running Sonoma 14.3. My previous MacBook Air died, but I had everything backed up to iCloud. I had most of my mail in folders saved "On My Mac". All my message have been downloaded to my new computer and when I search for a message I had saved in a folder "On My Mac" I can find it. However, all of the folders I had organizing these emails under "On my Mac" have disappeared. So the messages are on my computer someplace, just none of the folders. Any ideas on how I can get the folders back?
MacBook Pro 13″, macOS 10.14