The answer is, that KMail, unlike all other mail clients I've used, has a TWO_STAGE setup for pop filters.
1. You create the filter
2. You then have to tell your email account to use that filter!
WHY? Why not let the email account use the filter you have just created AUTOMATICALLY? The implication is that if you set up a filter, then you want to use it!
Sheeeeesh!