Are you using the IMAP protocol to access your email messages or POP?
You generally only create message filters within an e-mail client, whether it's Thunderbird or other, when you are using POP.
If you are using IMAP filters are created on the server side and all the assignment of messages to folders occurs on the server side.
I worry a lot. . . I worry that no matter how cynical you become it's never enough to keep up.
~ Trudy, in Jane Wagner's "Search for Signs of Intelligent Life in the Universe"