I also moved from Entourage to Mail, though the features offered in 10.2 Mail were enough to convince me to switch. Mail is a bit different, but ultimately worth learning. I'll answer 2 and then 1.

2. You're thinking of Mail as Entourage. Speaking very informally, in Mail, mailboxes are grouped according to their function, and "In" is one of those function groups. There is one folder per account for "In" (inboxes of accounts), "Out", "Drafts", "Sent", and "Trash". Entourage, in contrast, offers a more freeform approach to folder organization, with the curious side effect that folders are never organized -- well, that's my experience. It is more inflexible, but I like how I can segregate the mail per account by the Inbox, Sent, and Junk without defining 3 filters per account.

If your account is IMAP (or Exchange maybe?), you can select the inbox for that account, and create a subfolder of that inbox by control clicking on the account and saying "new". Alternatively:

1. "On My Mac" is not an account. Continuing the "group according to function" notion, its function is to store all locally stored mailboxes that are not explicitly associated with another more specific function of a particular account (by the def'n of function given above). For example, I have filters that process my email to redirect some of my mailing list mail to another mailbox, and that mailbox is a subfolder of on "On My Mac".

3. No idea.

4. Yes.