What is the icon next to the messages that should be filed? Is it an envelope or folder?
If you choose view folders on the BB and look in one of these folders are there messages in there?
Did you enable or disable hide filed messages?
Are the messages moved by a rule or are they moved manually from the Inbox to a sub folder?
Try sending an email, watch it arrive on the BB, move it to a sub folder and then do a Reconcile Now. Does it disappear?
Also, selecting folders for redirection doesn't matter if you're manually moving emails from the Inbox to another folder as well. That is only for messages that bypass the Inbox.