If only there were some way to add to the Favorites (or Smart Mailboxes or etc.) section in Mail's sidebar…
…oh wait, there is. As long as you magically hover in exactly the right general area to see the previously-invisible UI for adding favorites.
Thankfully, you can also right-click on a mailbox and select Add to Favorites. I consider the contextual menu items to be semi-hidden UI, as you still have to go looking for them. There is no way to do this using Mail's menus, however.
The best solution would be to have the down-arrow and plus sign always visible next to each item where it's applicable. A user setting could be included for those who prefer the clean look.
I really hate hidden UI.