Very good question. Exchange Active Sync (EAS) does not allow that on the server side, but perhaps you could set some policies (rules) in Outlook? I think the email gets pulled off the server though and gets to the phone before it hits your inbox.
Ok, I just looked at Touchdown for EAS, which is what I use. You can create a rule in Advanced settings that will mimic what you can do in Outlook, i.e. move a particular email to a folder, etc. Perhaps that might be what you are looking for.