I have also encoutered the same thing. I managed to saved the external pop accounts in Inbox by changing the data source name in command line.
zmprov mds
testaccount@zimbradevelopment.localdomain 'Existing DataSource Name' zimbraDataSourceName Inbox
But still when you take a look at the Accounts Preferences, it would still display that downloaded messages for external accounts are saved in the separate folder. I just ignored it..
let me know if it works for you..