Hi AppleDT,
I'm using Mail on a Mac in OS Mavericks, and I couldn't see an iCloud folder either.
This procedure worked for me when I wanted to restore some accidentally deleted Sent messages that had already disappeared from the iCloud online trash by moving local copies from Outlook 2011 to iCloud via Mail (I happened to have local copies in Outlook 2011, where I made a folder for the required emails, dragged it to the desktop to make a .mbox exported file, then imported it into Mail using File > Import mailboxes > Files in mbox format).
To move messages from Mail on Mac (OS Mavericks) to iCloud:
1. In Mail on a Mac, select a message and choose Message > Move to [or Copy to] from the top menu bar, then select a destination from the drop down menu, such as Sent.
2. Click on the iCloud destination option that pops up beyond (to the right of) Sent. Mail will show a progress bar for uploading the message to iCloud, and after a minute, depending on file size, it should appear in the corresponding box on iCloud online mail (Sent, in this case), and will then auto load back to the Mail box (Sent, in this case). Dates should appear correctly on the messages, but their order may be a bit odd. It's not a perfect solution.
3. Select subsequent imported messages for the same destination and choose Message > Move [or Copy] Again to iCloud. Not too many at a time, or the upload might get stuck in a loop.
Hope this helps, if belatedly.