One of the sad things is that it is not technically possible to compile all incoming or outgoing emails to the same account.
It is possible, so while I don't know why your rules aren't working...
If you go to File, Account Settings, Account Settings..., you'll obviously see a list of your mailboxes displayed in the E-mail tab. If you have multiple mailboxes setup it defaults to each of them having their own PST/OST file, but that can be changed.
Select the mailbox you want to change (any EXCEPT the "default" account), and at the bottom of the window it will show "Selected account delivers new messages to the following location", and a "Change Folder" button. Click that and then select the Inbox folder (of subfolder) within whichever account you want all of your email to be delivered, followed by OK and Close. From now on all new email received for that account will be delivered to the selected folder. Additionally, all sent email is automatically saved into the selected mailboxes Sent Items as well.