Using Classic Outlook on Windows for personal email, calendar, and contact management
You are right, you can right click on the individual sub-folder, yes that works. And actually the sub-folders do show the number of unread messages. But the issue is at the root level of each email address account, it used to show the number of unread in the inbox next to the email address accounts, without expanding the account to see all the folders.
So someone monitoring many email accounts could easily see which ones have new email and would not have to expand each of them individually to see which one's had new email. This is how the OLD Mail App worked, but seems to be a feature not included in the new app.