Right. An .emlx file is an individual e-mail message (or part of one).
I don’t either. This should work, and I just tested it successfully on my Mac.
Is the mailbox that you captured blue (rather than white)? Could you click on the Reveal In Finder button in EagleFiler’s Errors window (when one of those errors is selected) and tell me where the revealed .emlx file is? For example, if you tried to capture mailbox ProjectB, is it in:
? My hunch is that it’s something like the first location, and that these are orphaned .emlx files that are loose in the folder, which are not actually part of one of the mailboxes and which don’t appear in Mail.