Deleted MailBox caused a issue

I created a mailbox "On My Mac" and then moved few inbox mails to the new mailbox I created.. then when I realised those mails won't be in inbox I pressed undo and got those mail in Inbox again..

Then later I deleted that mailbox.. when I clicked delete that mailbox had 0 messages.. then suddenly those mails I moved earlier appeared in this mailbox and got deleted entirely.