Outlook 2010 Hide Built-in Folders

The issue is that Outlook need someplace to store the local items, such as your Tasks, your Calendars, Notes, etc. With IMAP mail servers, your mail lives on the IMAP server, and it can have it's own folder structure aside from the local folder structure. This is why you see both 'trees'. When you use Outlook with POP3 mail servers, POP3 functions differently; the mail is downloaded from the POP3 server and then stored in your local mail folders (and then usually deleted from the POP3 server). So you only ever see one 'tree'.

You mention that with Exchange you don't see the 'Outlook Data File', that's because Outlook works with the exchange server directly, and the Exchange server is your 'Outlook Data File'. That is, the Exchange server is the storage location for all our email, tasks, notes, calendar, etc. If you then add an IMAP account, you should see both the Exchange Mailbox and the IMAP folder structure similarly.

To answer your questions directly: I'm not sure if you can set whether various panes are hidden or shown by default; you might be able to accomplish this via Group Policies but I'm not sure. I suspect you would need to go to the individual machines and just do these things and then it will remember how you have things arranged. You can however remove the Data File version of 'Inbox' and other folders from the favorites and instead add the IMAP versions (they will look different though).

Regarding the Junk-Mail settings, there's a difference when you're using Exchange server. Exchange server itself is [generally] capable of handling junk mail, and it can scan and move mail into the junk mail folder without the intervention of Outlook. This is different than an IMAP server, again keeping in mind that your mail lives on the IMAP server, Outlook is not actively monitoring incoming mail for you. Instead, when you connect to the IMAP server, the IMAP server tells Outlook what mail is there waiting to be read. For the most part you would need to have some server side junk mail filtering going on to effectively deal with the junk.

I hope that helps, even though its probably not the answers you wanted.

It's a feature, not a bug.

Outlook shows the messages in the current folder, and if you check the option to "Show Messages from Other Folders", it will also show them in the conversation thread, but will only select by default the last from this folder.

This may be helpful: Under the View tab → Conversation Settings, set all options to "Always expand", and to indent. At least it's visible that there is a newer message you sent.

The other option as you commented is to create a Search folder to include all inbox and sent items and set it as the starting folder for outlook going to "file" - "Options" - "Advanced" and modifying Outlook start and Exit - see screenshots: