John,
Think of ordinary mailboxes (what you're calling "dumb mailboxes") as folders in which you store messages, either using rules or by moving them manually. A message can only be in one mailbox, and when you move it from one to another it leaves the first and goes into the second. Incoming rules are applied automatically to new messages as they are downloaded into your inbox, and outgoing rules are applied to outgoing message as they are sent.
"Smart mailboxes" are a different kind of beast. They are not folder-type mailboxes, but they are really saved searches. When you open a smart mailbox, Mail searches your entire mail database and presents those messages that meet your smart mailbox criteria. Those messages remain where they are; you can see their actual location in the smart mailbox iist.
Let me know if this isn't clear.
Ralph