Anyone knows if i can add an extra mailbox under "Mailboxes" in Mail.app (or if a plugin exists to do this)?
not a Smart mailbox, no mailbox under "on my mac" but just another icon under "mailboxes" as shown in the screenshot below.
You can create mailboxes (aka "folders") on an existing IMAP or Exchange account by selecting from the menu Mailbox > New Mailbox... and select the account and parent folder you wish from the drop down menu.
If you want sub folders of your Inbox, you have to configure those outside of Mail. Mail will display sub folders of the Inbox of a given account, however it will not help you create one.
At my office, I have a PC that I have to use for one specific application. Luckily, that gives me the opportunity to configure my server-side rules and folders the way I want them. If you don't have a Windows OS to boot up to do a quick fix to your account, you may ask your IT department how you can use the Outlook Web Access portal. Some companies just have a "check email" link on their home page.
The same goes for your IMAP account. I'm not sure what you use, so I can't give you detailed instructions. Google doesn't seem to like subfolders in general, so I can tell you that's a lost cause in Gmail.
If for some reason you DO have a sub folder of any other folder that's not showing up, then you need to select a folder from the offending account and select from the menu Mailbox > Rebuild. This can also fix an issue where certain emails may not appear.
IMAP access is really what your trying to describe, as far as I can tell.
The folders on your mac are listed their because they are literally only existing on your macintosh... I assume your Popping your email?
If so, check with your provider to see if they offer imap support. With imap, your mail is actually stored on the server, and thus you can have "mailboxes" / folders on the server...