(new user) how move new mail to existing mail collection?

Hey guys,
In Mail.app I select multiple messages and hit fn+F1. This creates some kind of collection in EagleFiler with a white/blue icon. I have looked in Finder and all messages seems to have been merged to a single text file.
Now I got a new mail that are related to my collection, so I select it and hit fn+F1. Then I want to add this new mail to my existing collection. However, the app doesn’t let me drag the new mail to my existing collection. It only allows me to drag it to a folder.

Can someone clarify what I’m experiencing now? Is there any better way to do it?

Thanks!

Please read the Importing Mail section of the manual to learn about mailbox files and merging.