When one enables the "keep replies in this folder" folder property, new emails are still put into the associated identity's sent-folder. As Till told me, in KMail1 one was able to not associate a sent-folder with an identity, something which is not possible anymore in KMail2 (you always have some kind of sent-folder). Thus, new mail will always be put into the sent folder and never be kept in a special folder. Workaround are either special identity-overrides per folder or filters. I'd propose to either favorize the "keep replies in this folder" such that new mails are also kept there, or alternatively add another property "keep new mails in this folder".
at the time this was written, the "keep in the same folder" option was working for me. now, shortly before the upgrade to 4.12, it stopped workingt and i experience the same problem the OP does...
This bug has only been reported for versions before 4.14, which have been unsupported for at least two years now. Can anyone tell if this bug still present? If noone confirms this bug for a Framework-based version of kmail2 (version 5.0 or later, as part of KDE Applications 15.12 or later), it gets closed in about three months.
Just as announced in my last comment, I close this bug. If you encounter it again in a recent version (at least 5.0 aka 15.08), please open a new one unless it already exists. Thank you for all your input.