According to the iOS5 manual (page 115)
"Add a mailbox:
Go to the mailboxes list, tap Edit, then tap New Mailbox."
The implication seems to be that I can now add and name new mailboxes/folders in iPad Mail.
But I can't see an "edit" button when I am in the mailboxes list.
Another "gotcha" for us neanderthal iPad 1 owners?