I am not sure if this is a known issue or just a limitation of POP3. I have both outlook and my blackberry accessing my zimbra email via pop3. Any mail that is automatically filtered to subfolders is not downloaded by outlook or my BB.
Only email in the inbox folder is. At the moment I am sorting my messages by hand while my mail filters are disabled.
I am hoping that even if this can not be fixed, at least the "apply mail filter to existing messages" will be applied. Currently it is in the wishlist and needs more votes.