The message is one from the Microsoft app in question. To fix this you have to ask Microsoft to change how it works.
Or you have to install your own Exchange Server. Most folk won't do that.
http://blogs.technet.com/b/outlooking/archive/2015/05/01/client-side-vs-server-side-rules.aspx covers how client and server side rules differ.
I no longer work for the company that had the Exchange server and I have my personal pop3 email coming into Outlook.
When I try to use the rules wizard, it tells me that the rules must be on the Exchange server. How do I correct this?
Is there some other way to direct emails from different pop3 accounts into their own inbox folder?