I was the having the same problem as here, but my problem has been persisting for more than 3 months. The problem is not resolved even when I reinstall the application.

My answer in response to Helene_C is:

• Please verify the version of your Windows Live Mail. Live 2012 (Build 16.4.3528.0331)
  
• Have you tried removing and re-adding your account in Windows Live Mail? If not yet, please remove your account and reconfigure it. For the steps on how to reconfigure, please refer to the link below. Problem solved after add and re-adding account.
  
• Did you make any changes to your account? No
  
• Do you encounter this issue before? No
• Do you receive any error code or error messages? No
• Please provide us the screenshot of the section wherein your folders are missing in your Windows Live Mail and the folders that are visible in Web.