Hi!
The main idea behind K-9 is to allow synchronization. K-9 does not want to be your only email program and expects that you use email on your PC, too. Creating a local folder would make the email inaccessible on your PC.
Phones are easy to loose, get broken, or get stolen. Important files like an email archive are not a good fit for a device that is so vulnerable. If you exclusively use email on your phone and plan to create local folders, I suggest to look for an email app that allows for exports/backups of the local messages (K-9 only supports exporting the settings, not the messages). Also, make sure to regularly transfer the backups to your PC in case the phone gets lost or broken. Considering that email providers allow to create synchronized folders and have huge amounts of storage space for free, storing your emails exclusively on a phone does not seem advantageous to me.