I have the new Outlook for Mac and I swear there is no way to create folders in your inbox. Is that right!?!
Right-click on your email address in the left folder menu and select New Folder. The folder will appear at the bottom of your list of folders and called Untitled Folder. You can rename it by right-clicking it and selecting Rename Folder. You can also move the folder by clicking and dragging it to your preferred position and then letting go of the mouse button.
Rob, I know on my iPad I don’t get the new folder choice, but if I go to outlook in safari, or other web browser, I can add a folder, this then syncs to Mail on the iPad. Not sure about the outlook app, but maybe the same.