What the f&*K is wrong with Apple??!!! For the second time, El Capitan has screwed up my mail! This time all my saved Mailboxes that hold my Mail Archives are GONE in the Mail program. I went onto the disc to my Library and found them there, but why are they not available inside Mail. I am trying an import, but there is no reason in Heaven, Hell or Earth that this should happen! JEESH!!!!!!!!
Next time try rebuilding the Mail Database first. Often is a simple, fast, and effective solution. Databases are a bit fragile in general when it comes to structural change. Although I agree one should not have to, it is not uncommon to need to rebuild Mail if/when stuff is missing.
Typically your content is technically there, but not displayed/visible.....no unlike needed to occasionally rebuild the Spotlight index when search is not working correctly.