Fabio wrote:

my intention is NOT to set the IMAP folder as the delivery location,
but to set a local delivery location (a local folder) for messages
received on my IMAP account. This is something that is allowed. I
found an help page about that; look for "Specify where new messages
are delivered" - no mention about the type (IMAP or others) of
account. This is also what some of my colleagues did with their
account (we are on the same corporate mail server).

My problem is that, in spite of specifiying a delivery location,
messages keep staying on the server, until I move them manually to my
local folder...

You could create a rule that will move messages from the IMAP Inbox to a
local PST.
--
Brian Tillman