@James: Most likely your problem is not related to mail filters. I guess that your system daemon is not writing changes at all at the moment. Please check if other changes like creating a new website gets written to disk.
@manticore: Please check that you reaally use courier. In almost al current poerfect setup guides we use dovecot and not courier.
I dont think that there is a problem at all, the folders that you think are missing are only used by courier pop3 / imap daemon. So on all other systems that use dovecot, thes efolders are not there and shall not be there as dovecot stores the rules in the .sieve file which is in the maildir an not a separate mail