It's been a problem in the outlook line for a very long time. I'm sure that
microsoft would call this a feature but I would call this a bug. The problem
occurs with nested folders. Assuming you have enough permissions, if you try
to copy/move the folder with sub folders, you get the no-can-do warning and
yet you can copy any of the folder(s) items...bug or at least, bad behavior.
It's my belief that outlook looks to see if items are mark private only when
a folder is opened. When you try to copy a folder with sub folders between
mailboxes, this process is bypassed and outlook can't tell if there's any
items within the sub folders that might be marked private. That's why the
message says "...may contain private items..."
The work around I found requires you to set delegate access on the offending
mailbox. You need to log on as the offending account user, start outlook and
go into "tools/options" and into the delegate tab. Add the users (yourself)
you want to have access to the mailbox.
There is a checkbox at the bottom of the next window that says (let users
see my private items) This is the part that will allow you to copy nested
folders.
Close outlook and logout. Log back on as yourself, re-open outlook and you
should be able to copy away. If you are doing this from multiple
computers/sessions, make sure you close and re-open your outlook session so
the new permissions are applied.