Personally, I would suggest switching to Mail.app, I do similar things with my mail, with no problems like that. But also I used entourage before, with a similar situation, but without this problem. If you are set on using entourage no matter what, I would check your preferences.
Possibly turn on online access. What I am thinking is, the files are being moved, but the information that they were moved is not getting back to the mail server.