It is normal for an exmh user to handle large volumes of mail, this is something the program and its underlying MH/nmh base excel at. One aspect of handling large amounts of mail is the filtering of the incoming mail to divide it into multiple folders based on user-selected criteria.
In principle filtering is external to exmh proper. Any method of filtering should end by using the MH/nmh rcvstore program to "deliver" the message into one of your folders. The rcvstore program updates the "unseen" sequence which in turn causes exmh to highlight the folder as having new mail.
In practice there are two common ways to filter mail:
Notes on Converting from slocal to procmail to help old time .maildelivery users convert to procmail.