OS X Mountain Lion: Mail rules may not appear after upgrading from Mac OS X v10.6
Symptoms
When a system is upgraded from Mac OS X v10.6 Snow Leopard to OS X v10.8 Mountain Lion, existing rules may not appear the first time Mail is opened.
Resolution
Quit Mail and reopen it. The Mail rules should appear.
Read more http://support.apple.com/kb/TS4387