It does unfortunately. What I do is have my iPhone checking via IMAP but my Mac using Pop. This means any messages I send/read on my iPhone will be synced on my Mac. But once yor Mac gets the email it will disappear from the iPhone.
The only way have it synced is use a online account like gMail or something. Or have both your Mac and iPhone using IMAP but then your mail is always kept on your ISP's mail server.