Hmmm - well I am using Mail 6 (mountain lion), not sure if that makes a difference. The mail I am exporting is 'on my computer' (originally imported to Mail 6 from Eudora - and then continued to be used to store messages moved from inbox. The Mail account was set up as an IMAP account in case that makes a difference. I should have done POP from the start, but I know everyone says IMAP is better (sync multiple devices). It's just not working well for me though. The exported mail does in fact appear with all the folder structure in tact, which is what I want. You have to be sure to click - export sub-folders - on the export command in Mail.
Mail's archived mbox files were readable text files in text-edit, but they were not readable in Eudora when I wanted to import them (greyed out). By opening in word, saving as plain text with a .txt extension, they became readable. All the messages in each mailbox appeared just fine in my test. I really want to use Entourage - many don't like it but it has a lot of features that work well for me in terms of my work flows.
Thanks for your comments! I'll let you know the final result of my migration.