To reproduce:
1-select email - right click - create rule
2-check the From checkbox and the Move the item to folder checkbox
3-click "Select Folder..."
4-select "New"
5-name folder "xyz"
6-click "Ok"
7-click "Ok" (Notice that on the move item to folder line the inbox is selected instead of the folder you created in step 5).
8 - Check "OK" to run this rule on messages in the current folder"
9- You will notice the email is not in the selected folder or in the inbox. Search returns no results.
I guess it creates a circular logic, although the rule says "only do this once".