Message Rules defintion difficulties

Win10 Windows Live Mail: While establishing a rule to upon receiving a message with a specific "From" name to immediately move it to an established folder "Voice Mail" vs "Inbox". While configuring the rule; the rule text states "apply this rule after the message arrives with a From Name specified and move it to the Voice Mail folder". Exactly what I want and worked just right on the old Outlook. However when I select the required button to "apply the rule"; The descriptive text changes slightly and says "Apply this rule to currently downloaded messages......." Consequently the voice mails are staying in the "Inbox". Is it something I did incorrectly or another typical MS oops? Please help me.