That's really an imap issue, and honestly, I've never found an email client that does it as well as RoundCube does.
The only desktop email client I've used which allows you to set up your rules is Kmail, from the KDE desktop (available on both Linux and BSD). But it's much harder to use, and I don't like Kmail for other reasons.
I use RoundCube to set up rules. I use RoundCube when not able to use my desktop client, and I use Claws Mail (in Linux Mint) on my desktop, all as IMAP clients. Even when using Claws Mail (a simple client; it doesn't even show HTML email) I see my email in the folders they've been moved to by Sieve.
Jeff