I finally figured this out…
In order to be able to use the special folders, you have to make OE see them at the root of your IMAP store (not as a sub of the INBOX folder.)
So, in your OE configuration, go to the IMAP tab of the server’s properties (the same tab where you specify the Special Folders.) for the Root Folder Path, use INBOX. This makes the INBOX the root, and all folders and container folders live under there.
This will not hurt your experience any… in fact, it will help, because you can now specify any of your folders as your special folders.
The only downside is you will wanna compress and clean up your local account, because it will likely have duplicate copies of your messages that you can’t see.