Never mind, I finally found a workaround to this. It seems that this can't be achieved with the admin web interface but can though the command prompt.
You can set the folder id to which messages from a data source (external account) will be saved with the following command:
zimbraDataSourceName is the name given to the external account (eg Hotmail or Personal).
zmprov mds email@example.com zimbraDataSourceName zimbraDataSourceFolderId '2'
The inbox folder of an account always has a folder ID of 2.