If I create a new folder, emClient switches to it. In my opinion this has no practical use. It would be nice if emClient didn’t change the folder.
It is intentional when managing folders that way, that you are sent to the new folder so you can configure it.
If you just want to move messages to a new folder, and don’t want to move from where you are, select the messages and choose Move to Folder. Then create the new folder in that dialogue. Then select it as the destination and once the move is complete, you will still be in the original location.