How many mailboxes do you have on each device? If you only have one mailbox then it should appear like this:
If you have multiple mailboxes then it will require a further step up/back to get to the screen mister t showed earlier. You the. Have to use the bottom option to select the specific account amd it should them show the other folders there.
Alternatively, did you set up the folders on the air or in outlook itself? If outlook did they automatically appear on the air?