@Gary aside from the approach described above (look for an existing folder called “archive” and use that if present, otherwise create such a folder – which may be what all the other clients are doing to make this work), another solution would be to allow users to simply map the folder they want to use.
Whatever the solution found, it really would be great to get something to work here. Not having this folder mapped means that, for users with more than one account, the Archive button and the Archive keyboard shortcut don’t work across all accounts, and the workaround I’ve been using (assign a custom keyboard shortcut to move emails to the Exchange Archive folder) is prone to accidental misuse and sending emails to the archive folder on the wrong account.