hehe, well, since the tags are not available via the iPhone this doesn't really help me
Anyway, I get the idea ... but since Zimbra allows for subfolders (and also displays if there a new mails in them) I'd chalk that up to either poor implementation by Apple or general problems with the ActiveSync protocol. I mean, heck, even IMAP can display new mails in subfolders and that protocol is like 6 years old.
I'll see if i can get a mixed ActiveSync / Imap setup to work ...