Mail Manager supports the filing and searching of messages in locally sync'd Box folders.
The process is the same as local and network folders.
e.g. C:\Users\<user_name>\box\Projects\119000\119363 - Tower Hill\0.00 Email
Note: The local path to the folders cannot be the same for all users, as Box does not allow you to move the local root folder. This means that each user would need to set up their own Mail Manager Collections & Locations.