If you have created a folder in the Windows Mail app and it is now replicated on the BT servers that would suggest to me that your Windows Mail is set up as IMAP and not POP3.
Says the below (I've not divulged the numbers in case I shouldn't for security reasons, don't know)
Outgoing SMTP: mail.btinternet.com: yyy:y
Thanks. Ok, it's IMAP
Will have a go at Thunderbird tomorrow, see if creating an offline folder works there.
What about if I import my emails into my Gmail account, will they all still be there & accessible post BT account closure? Or will they vanish?
If you manage to import them onto a gmail account they will be on the gmail servers and will not be affected if your BT account is deleted.
The only way your email will vanish is if they are solely on the BT servers and nowhere else.