I saw a message in my Inbox which I would rather have filtered into a different folder.

I right-clicked the message in the folder listing, selected
  "Create Rule From Message" => "Filter On Sender"
and specified the folder I wanted the mail to be filed in.

I then tried running the filters using control-y, but the mail didn't move.

I opened up the
  "Edit" => "Message Filters"
dialog, and didn't see the filter I had just created.

Further exploration revealed that the filter was in the "Outgoing" section, rather than the expected "Incoming" section.  I was making a filter based on "Sender" after all.  Filtering outgoing mail based on sender is likely to be a less common requirement than incoming mail, since all my outgoing mail is sent by the same person (ie. me).

I think the root cause of this is that I file my sent mails in Inbox along with received mails, so I can see conversations as threads, and file both sent and received messages with a single drag.

To reproduce, set the 'sent messages folder' to be Inbox:

  Edit => Preferences => <account> => Edit => Defaults => Sent Messages Folder => Inbox

Then try creating a filter from a message in Inbox.  It gets set to be an outgoing filter.

I would suggest that incoming filtering is more common that outgoing filtering, and so if the sent messages folder is 'inbox' then default new filters to be incoming ones, and give the user a choice at creation time.