As intended b Microsoft, when having multiple accounts configured inside one Outlook client, each account has its own Inbox. When you add that Inbox to favorites, each inbox displays separately. This cannot be altered.

There is a work around b creating a client side rule that will move items entering one inbox and can be moved to a folder. this is not recommended. However, the rule will allow you to accomplish this. The rule is client side and will only run with Outlook opened.

Hope this helps.

Hosted exchange with Var Dynamics.