Basically a Smart Mailbox is a saved search:
When you search for something in the Finder or with Spotlight, you don't move all the files you find to a new "search results folder", do you?
Smart Mailboxes work the same way: You enter search criteria, and it constantly updates the results in one mailbox. It doesn't move the emails away from other mailboxes, it just shows the results of your criteria.
So you can have the email "today's report from the boss" appear in your "work" smart mailbox, your "This week" smart mailbox, in your "boss's mails!!" smart mailbox etc.