Creating folders in Outlook on the computer has nothing to do with your phone. None of the folder structure that you create in Outlook on a PC has ever been transferred to the iPhone in Mail. That is just how POP mail works. You have also never been able to create additional folders in a POP mail account on the phone to move any of your mail to for structure purposes on the phone.
You also describe exactly how POP mail works, which is to store mail locally on the computer, which you seem to like. There is no problem with that, however once it is on the local machine, that is where it stays. There is no way to copy mail from your Outlook and move it to the phone. And as you may have already read, the mail messages are not included in the iPhone backup, just the account info. This is the limitation with POP again, since the messages are already on the local device.
I understand your frustration in no being able to make an image of your phone and move it to another device. The iPhone, and no other phone also, are not like a PC or Mac and allow that type of backup. The iPhone backup, both on iCloud and it iTunes, are designed to be as streamlined as possible to take up the least amount of room. Therefore they do not backup certain materials. Your music and apps are not backed up since they are already in iTunes and such as that. You do have the option to provide feedback to Apple if you would like to see mailbox content be saved as part of the backup by going to www.apple.com/feedback and click on the appropriate link.