"Mailboxes" under On My Mac don't match what is shown in the "New Mailbox" dialog box

When I create a new mailbox in Mail.app, it doesn't appear in the list of mailboxes in the "New Mailbox" pop-up dialog. My list of mailboxes in the "New Mailbox" dialog don't match what mailboxes appear on the left-hand side of the application. I put question marks next to the inconsistencies in my screenshot.

What is going on here?

Also, why doesn't the Apple Communities have a "Mail" app option for Category? Is it not a Mac app?