I think that's just an issue with the IMAP server. My personal e-mail (Cyrus IMAP) has every folder as a subdir of INBOX. My work e-mail (UW-IMAP) has every folder as a root folder. Mail.app does not let me choose how each one appears.

Mozilla Thunderbird and other such apps also display folders as INBOX-subfolders or top-level folders; unlike Mail.app, Thunderbird keeps everything grouped by account.

You're right about it being a difference in IMAP servers. All you need to do is figure out what namespace your server is using for your folders.

For example, my home server (Courier) uses "INBOX." as the namespace:

INBOX
INBOX.Sent
INBOX.Trash
INBOX.Something

and so on. If you look under the Mail.app Preferences -> Accounts -> Advanced there's "IMAP Path Prefix". To get my mailboxes to group properly, I just had to change the prefix to INBOX (without the . delimiter, for some reason.)