iCloud does not support or sync Smart Mailboxes or local folders. You can create mailboxes at the iCloud.com site that will be IMAP and show in the Mail sidebar under the iCloud folder. Those will show up on all devices.
Other than that, iCloud will only sync Mail's main mailboxes (default mailboxes).
In Addition to better explain:
Local folders under On My Mac are folders only located on the computer. They are not part of any IMAP or Exchange account.
Smart Mailboxes are for the most part just search engines. Messages are not stored in those, but they merely point to messages which actually reside in the original mailbox where they are stored.