Apple's apps are usually easier to deal with than 3rd party software. Mail.app is an exception. I found it counterintuitive the way Mail handles messages. There's the On My Mac trash. There's the trash under each mailbox. I never did take the time to figure out exactly when a deleted message went to which.
I'm on a Win NT box at work right now, so I'm working from memory, but I think I remember similar confusion with sent messages. Are they On My Mac or are they in a sent folder under the mailbox from which they were sent? Why is it set up this way.
I too would be interested to get someone smarter than me's* explanation of all this.
*Yes, I know that's a grammatical nightmare.