Mac Mail not keeping send message on server

Option is selected, but message are keep on the folder " On My Mac"

http://screencast.com/t/lVspCL78

How can I view all eamil across all device in sent folder? or trash?

Keep all device IMAP mail in sync?

If I send email from iPhone, I want to see the email on iMac after.

NOTE: I don't use icloud mail, I use

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Please HELP

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