I posted this feature request to the mailing list:
http://lists.ximian.com/archives/public/evolution/2004-October/040124.html

Here's my officle Feature RQ: 

I've searched bugzilla and the mailing lists for this, but I turned up
nothing as of yet...

Now (with 2.0) that the tree view only has folders containing mail
messages, it would be very nice if there were a way to multiply select
folders and (presumably) create an (anonymous) vFolder that merges the
messages in all the selected folders. There could even be a way to turn
that anonymous vFolder into a named vFolder for later.

From a user-oriented perspective, this seems like the "right" thing to
do when a user ctrl-clicks or shift-clicks in that view.

From an implementation side, it appears (to, a programmer that isn't
familiar with the Evo internals) that most of the infrastructure is
there to build this.

The particular reason I want this is pretty simple: I have a lot of
folders. I frequently use the search bar to find old messages that could
be in any number of folders. If I want to run such a search, I have to
run my search on one folder, save that search to a vFolder, and add all
the additional folders individually to that vFolder query (or I just add
"all local and remote folders"). After I find the message I'm looking
for, I delete that vFolder.

It would be so much more straightforward to simply select the folders I
want to look in the folder view and run the search off of the search bar
(possibly adding more folders later to search in more folders).