You are correct. I confirmed with MS support. Following is the response from MS:
We are very sorry for any trouble you have experienced with the new Outlook. The new Outlook is still in the preview stage and some features are not fully developed yet. One of these features is the Rules option for IMAP and Cloud cache email accounts, which is a known issue with the product, and we do not have an ETA for its resolution.If this feature is essential for your work, you can use the classic Outlook until the issue is fixed, or you can switch between the two versions as youwish. By clicking on this toggle will take you back to classic Outlook for Windows.We appreciate your feedback and patience on this matter. Is there anything else we can help you with today?Best regards!
But for the life of me, I do not know how I created a rule this morning and ran it manually, and it worked. I have not been able to replicate it. The classic version doesn't allow it either.
My apologies for getting everyone excited and more so for the effort I am sure a lot of folks expended trying to set rules and finding it wasn't happening.