What you say is right and to a certain extent enlightening: the New Mail folder is the built-in Last Mail folder, and consequently it would be unelegant to add another folder with the same function.
My problem arises when messages disappear from the New Mail folder due to reception rules, and when reception rules folders are too numerous to be seen all at once. In that situation I have a new message without an indication of new message directly on the screen, which is always bad for a mail client. The solution you suggest is to make reception rules applicable only when folder is closed, which is very clever indeed: Messages would be visible in chronological order in New Mail folder, and after that archived in the reception rules folders. That would be the most elegant and close to perfection. ( BTW, closing Pmail is out of question, in orthodox windows programming at least, so I assumed you meant closing folders. )
However, why should I be forced to close New Mail folder? If I have a reception folder for discussion list [scubadiving], I want to be able to open Scuba Diving folder at once without closing New Mail.
More deeply now, New Mail folder was my Last Mail folder until I learned to use reception rules. I now use specific reception folders so extensively that New Mail has become more like Primitive Mail. More precisely, it is Unexpected Mail at the top, and Unclassified Mail at the bottom.
Maybe there are simpler solutions. For example the Folders Window could show a big New Mail icon after each POP retrieval. Or a different top bar color until I have scrolled down. Or both.
Or a new Folders window with only the relevant folders. So there would be two Folders windows: one for Folders with New Mail, one for all archived mail.
Or we could start the other way round and right-click on a folder: Warn me when there is New Mail in this folder. That would perhaps be convenient, since I don't absolutely have to read mail from discussion lists immediately, but I do have to read mail from individual clients. Or maybe "Open this folder in a new window of its own whenever there is new mail." That would create a third window and would remain consistent with the rest.