For an IMAP account you have two options where to create the new mailbox. Either locally "On your Mac" or remotely on the IMAP server. You can select that in the "Location" popup menu button when you create the mailbox. Either way, Mail will always tell you where that mailbox lives, and it's kind of important to know so that's a good thing.
Maybe if the only thing you are using is a POP account (where nothing is stored remotely except of new messages) then it doesn't show this. That would be the only idea I have why it's not shown for your wife.