The older Hotmail.com accounts work in sync with entourage, i've had my e-mail address for over 5 years and it syncs up folders and everything, it was only in the last couple of years that they wrecked the functionality for this on the new accounts I think.
In regards to the MAIL app that comes with OS X, even with a hotmail account that works completely with entourage, it works, but if I move an e-mail to a folder, it only does it on the computer, not on the actual account ... unless I'm doing something wrong? In entourage if i move an e-mail in the app it moves it on the server as well
Hope you get it sorted!!