New mail does not appear in New Mail folder

I have had this problem for a long time.  I'm not sure that it ever worked.  I do have a filter for incoming mail.  Mail that is not sent to another folder by the filter is supposed to go to the New Mail folder.  It does not appear there.  In order to get it to appear, I have to close Pegasus Mail and restart it, or sometimes I can just close the New Mail folder and reopen it.

 Any ideas as to what the problem is?

Thanks.

Harry