And that is the key. Only IMAP and Exchange accounts can sync folders. POP does not have this capability.
To create (or delete) more folders, you must do so on the server using the web site or via a computer client. Once created the new folders will automatically sync with the iPad.
I have 8 sub folders set up on my iPad that are pushed from our Exchange Server. they just mirror what I have on my desktop and the same forwarding rules apply.
The only problem is the same problem iPhones have. The unread email count on the home page icon only displays the unread emails in the Inbox not in any sub folders.