I tried the tests on the rulesets again and verified that you are correct. However, the reason my previous tests were wrong is because there appears to be a 'feature' that can be both useful or confusing. If you create a brand-new folder then open a filter and add/modify a rule in which you select a folder as the parameter, the folder selection window will open with that new folder already selected. It appears that whatever folder you last created since opening Pegasus is automatically selected even if the rule already has a different folder selected. Strangely, if you close Pmail and start it again, then the selection window will default to 'New Mail' instead, so this 'feature' only applies if you have created a new folder during the same session as you edit the ruleset.
When I did the tests I used the same rule twice, just modifying the 'set' parameter. I also created the two test folders without restarting Pmail. So, the first time I chose the first folder, then I edited the rule to change to the other folder and I assumed that the selection window had reselected the folder I had previously selected, but it was actually selecting the last folder created. This means I was actually selecting the same folder twice, which explains why my test didn't work correctly.
After re-doing the tests correctly I can verify that the rulesets do indeed work as advertised. However, I'd like to suggest that the selection window be made to automatically choose your previously selected folder (if it exists), and otherwise it should not default to anything.