See upstream bug report for more details.
It seems to affect local deliveries as well, but not POP3 filtering.
From the upstream bug:
------- Additional Comment #5 From Till Adam 2003-07-08 08:45 -------
This bug appears to be fixed as a side effect of the recent changes making it
possible for a message to have more than one status. The fix will be in KMail 1.6
This bug is reported against old release of Red Hat Linux or Fedora Core
that is no longer supported. Chances are that it has been already fixed in
newer Fedora Core release. If you still experience the problem with
current release of Fedora Core, please update the Version field (you may
need to switch Product to Fedora Core first) in the bug report and put it
back to NEW state.
Should have been fixed a couple of years ago...