Smart mailboxes are not 'physical' mailboxes or folders, they are actually searches. So when you set up a Smart Mailbox with the rule "message is unread", Mail searches all the locations (Inbox, Junk etc) on your mail server and lists the results as individual messages in the smart mailbox. The messages themselves are actually located elsewhere. You can find the 'physical' location of a message by clicking on the message. It should say in the header which actual mailbox the message is located in.
To work that out, you would have to start with a simpler rule set. E.g. just start with unread messages, then gradually apply your rules, one at a time.