The OP is correct. I believe the Windows Outlook 2010 development team simply failed to provide the important "All Inboxes" feature. As stated, it's available in other email clients these days including the free or built-in iOS Mail and Windows Live Mail (both of which I end up using more than Outlook 2010 partly for this reason).
Solutions that move email from multiple accounts into a single folder/data store just create a mess IMO. Some may prefer it. But what I and (I think) others want is a View (using the SQL database term which is probably what this feature is based on anyway). A View presents multiple data sources in a single result set without modifying the underlying sources. A View is cached in memory upon each use and otherwise doesn't physically exist.
Anything you do to an email (open, reply, flag, delete...) is passed to the source account for handling, so it doesn't matter whether that account is POP, IMAP, MAPI or whatever as long as you have the credentials stored for each. You can navigate to any source Inbox and see the exact same status for an email because that's where the View is getting it's data anyway.
I don't have the Mac version of Outlook, but it sounds like that team has figured out the All Inboxes feature. If this scenario is correct, I wish they would provide some help to the Windows Outlook team. Help them out with color schemes and user created templates while your at it.
To end on a positive note, I will say the MS Outlook 2010 team hit a home run when it comes to searching and sorting emails!