One of the nice features of Mail, the bundled OS X mail client, is Smart Mailboxes. A smart mailbox is a filtered view of your mail based on your own criteria.
I have both IMAP and Exchange accounts and use Mail for both.
The trouble I was having was creating a view of recent mail from all inboxes that did not include mail from the Exchange Junk E-Mail box. When I created a rule for "Message is not in Mailbox" and specified the "Junk E-Mail" box from my Exchange account and saved the smart mailbox attributes, it wouldn't take. In other words, the next time I opened the smart mailbox settings it said "No mailbox selected":
To solve this problem, I went to Mail / Preferences / Junk Mail and changed my selection for "When junk mail arrives" from "Mark as junk mail , but leave it in my Inbox" to "Move it to the Junk mailbox".
Now my smart mailbox works as expected and remembers its rules. And I don't have to use Outlook.
Reference: Smart Mailboxes not working with Exchange Folders?
