I've tried the Move button and it does nothing (swipe up from bottom of screen/or check mark a message to see). I suppose if it did work it may give you a create folder option. Has anyone successfully used it to move a file?
When you select a message and choose Move everything dims except the folders on the left side where you choose the folder to move to. I don't see an option to create a new folder but there is one if you log into your account through the browser. It's a bit ridiculous to have to do that but hopefully MS will stream line these things soon. It's like Skydrive, you can't share anything through the app you have to log in online to get the extra options.
Try creating the folders in your Web access for your mail. I do that with Hotmail and the new folder syncs into the Mail App on the Surface. Microsoft may develop more functionality for this app in the future (I am Hoping). As it stands now it is just an App for retrieving and responding to your mail.