The normal function is both the messages folder and the folder created for the email will have a copy.
The email associated with the phone will only go into the massages folder. How many email addresses do you have on the BB. If only one then only the messages folder will get a copy. Not quite sure how your forwarding emails to the BB, you did not indicate the type of service, BIS or BES. How did you create the second folder?
This info may help
KB02189-How to associate email addresses with the BlackBerry Internet Service account
KB12610-Email messages associated with a BlackBerry Enterprise Server and a BlackBerry Internet Service account are located in the same Messages folder