I could be very annoying to use Thunderbird with multiple folders. Everytime you'll create a new subfolder you have to change the properties and click the checkbox to download all emails to this folder without the need to click on this specific folder every time.
I found a global option which made my life much easier. Just use the config editor (about:config) and change the following entry:
mail.server.default.check_all_folders_for_new -> true