Just having the same problem. All my main Mail rules are on my desktop and now my laptop which is what I use when travelling to different offices is totally out of sync with the main rules. This never happened with MobileMe and now I'm trying to figure out how to transfer those rules from my main device to my laptop.
There was absolutely nothing wrong with the MobileMe service - not sure which dumbo decided to bin it for a cut down system with less features. Doesn't make sense at all!
I am able to sync my mail rules between my macs. This is supported through iCloud and Lion, however, my rules are not synced to my iCloud account. For example, if I login to my icloud account via a browser (not using apple mail client) my rules are not imported. This seems silly as it would be easonable to assume I would want the same rules available through the icloud web interface. Even more disturbing is that my email rules no longer work reliably in my apple mail client. I receive messages marked as junk from icloud, but they are not messages I want marked a junk; I create a new rule it doesn't work or works the first time, but no longer. This is becoming frustrating and I am considering returning to gmail as it works more reliably.