Hi Tim
I have the same issue as i have my own email address and only want to use.
There are two ways around this annoying problem. The first is to set up your own domain email account alongside your iCloud one, and when you go to send each email tap on From and you get a choice of emails addresses to reply from... ie your own domain or the iCloud one. This is tedious though.
The other is to set up your iCloud email as normal, then create a new one altogether. Choose 'Other' when creating this new account. Then put for the incoming server mail.me.com, along with your user name and password. For the outgoing server put the server you want to use - ie your own domain one. This is therefore a hybrid account and does work.
Now switch off the email for iCloud (leaving on Calendar, Address Book etc). Switch on the email for your hybrid account (which of course is iCloud incoming as well).
Providing you have directed your own domain email address to your me.com one, you will find the iPhone should behave itself and you can use the folders etc and these will synch with your Mac ok.
Hope this work for you - let us know.
Simon