Those (sub-)folders aren't stored locally, but on the Exchange server. You write it happens on differend (client) computers, so it should be a setting somewhere over there.
Hope this helps,
In Outlook 2003 I am able to drag mail from the Inbox to the folder list window for most sub-folders. For a few sub-folders I receive a black circle with a line through it. Instead I have to right click on the message I want to move and choose move. This is happening on 3 different computers, different user profiles, different mailbox's and different hardware -All Outlook 2003 with an Exchange 2000 server. I have checked the obvious places like permissions and security.....