Just for the record, you can setup filters for the m999999 accounts. If they don't work (wait an hour or two before deciding they don't work), contact support.
The comments in area 2626 involve setting up procmail yourself with these users, not the mail filters section of the panel.
All of the filter options listed on the Squirrelmail site seem to work using procmail / maildrop / sieve. Because the webmail machines are totally separate from the mail machines, an interface for server side filters for Squirrelmail wouldn't really work without a bunch of work on our part.