It's funny because as I was writing my message above and checking how I set up my accounts it occurred to me what I might be doing wrong.
I went back to each account and removed the Receive Mail: Mail Server setting. This now prevented each account from logging into the server to retrieve mail.
It seems to have done the trick (at least for today, the filters are behaving properly so far).
What was happening was when I hit Alt-F2, each account was checking for e-mail, but apparently not in the sequential order that I have them set up in.
MainAccount is at the top of the accounts list, but some of the other accounts must have been logging in ahead of MainAccount. Once they logged in, they took all the e-mails from the server and didn't filter them (because the filters were set up in MainAccount).
You don't need separate accounts though. You can also delete every address to its own folder and you can set the folder identity (in the folder properties) to the matching address, that's what I'm doing for a number of addresses.
I'm not quite following what you have said above.
How do I "delete every address to its own folder"?
"set the folder identity (in the folder properties) to the matching address". Do I do this in the filter settings or somewhere else?
So you are saying I don't need separate accounts for each of the additional five e-mail addresses?
How would I send e-mail from these addresses then, if they don't have their own accounts?