I've been fighting with this for very long now, losing a lot of attachments in the process. Today I spent some time analyzing the problem a bit, and I made a few interesting observations.
1) The problem does _not_ occur with an exchange account I have with one provider. If a person sends to that mail address, the mail is moved _with_ attachment to the correct mailbox on my Mac.
2) It does occur with an IMAP server hosted by one.com as well as with my Apple e-mails (icloud, .mac etc.).
So I created a rule that checks if a mail is addressed to any of my problematic mail addresses, i.e. the one.com and the Apple addresses, and if it is, it stops evaluation of further rules. And then I reorganized my rules so all rules not affected by the bug appear _before_ this rule. It's far from perfect, but at least I can keep my organizing rules for mails sent to the exchange account.