Thanks for responding. I guess I didn't explain things well enough. These additional folders already exist in the M365 account and have existed for years. I only mentioned M365 for completeness, I would expect the same issue to exist regardless of the mail server being used.
The steps I describe add the additional folders to the list of mailboxes that are displayed when iOS Mail is opened. The folders are selected from a list of __already existing__ folders in my M365 account. In other words, no new folders are created, so there's nothing to be done on the M365 side of things.
In fact, I don't even see how to create a new email folder in iOS Mail.
The best way to understand the steps is to actually do them. You can try this at home! ;)
Here are the steps I took:
In this first image you can see the display when I enter Mail. I have a few email accounts, S***, b***, C***, and live.com. These are each different email accounts with different usernames/passwords. This all works great. At the bottom you can see the 3 folders I've added (Pending, Sent, and Trash, which are all in the S*** account).

Here are the steps I took to add the folders Pending, Sent, and Trash, to the above list. I click on the Edit button at the top right of the above screen, and get to here:

I then scroll down to the bottom of this page and find the "Add mailbox..." button.

And click on that. Then I get to this screen after expanding the folder list for the S*** mailbox and you can see that I've selected the Pending folder.

After I've selected the folders I want to add I select Done, and the folders I've selected to add show up in the list of possible options for Mail to display. Once I select them they show up in the list of Mailboxes on the main Mail screen.
All good so far. However, after some apparently random amount of time, these added folders disappear from the Mailboxes list in mail. They also disappear from the list of possible options for Mail to display.
I hope this clarifies the problem. Thanks for reading!