Are you saying that all the folders show up, or all the accounts? I don't use folders, so I'm not sure what the default behavior is for them, I just wanted to make sure I understood what you were asking for. I honestly didn't think the built in mail client did anything with folders. I thought you had to manually move messages to folders. I know in Outlook I have various rules to automatically move things to various folders, but on my phone, everything just plops in my inbox.
I will have to play around with the folders. Now you've got me curious. :-)