On the Microsoft Outlook forums we do not recommend making subfolders under the Inbox.
Exchange Header
Inbox
Folder A <---this is wrong
Drafts
Deleted Items folder
Junk
Folder A <-- this is correct
It's best to move folders using your web interface (OWA) but you can drag in Outlook.
In Outlook:
First turn off Group folders. You'll see the header with the name of your Exchange account at the top. Drag folders to the header. Do this slowly. It will take some time for results to sync to server then back to Outlook.
In Browser via OWA
Because of the massive changes The process is best done in your browser. I would also put Outlook into work offline mode during this process. After all is moved on the server via the browser, I would delete the Exchange account and let it all download correctly from the server. If you only have Exchange, just start over in a new Identity.