What's the Thunderbird filter rule?
Another way to see the account's attributes is by doing zmprov ga <email-address> from the command line.
If you're sure that there's no Zimbra filter rule set up for the user, then it's probably something odd with the Thunderbird filter rule. Can you post your whole set of Thunderbird filters and point out the one that's firing to move the message? (But first, make sure that Thunderbird isn't just marking the "moved" message as IMAP \Deleted but still displaying it until it's later expunged...)
I'd actually consider it a Thunderbird issue.
Since the message hasn't been expunged, it's really still in your INBOX. It still counts against your quota, you can still mark it as not \Deleted with your IMAP client, etc. So having the Zimbra web client hide it is probably not a good thing.