Outlook has a bug and unfortunately till 2010. I am experiencing the exact same problem in outlook 2010. The work around is as below.
1. Move all client only rules at the bottom.
2. remove the stop processing from all the client only rules like moving to PST etc.. (I am mainly using moving to PST).
3. To avoid the problem of duplicate message which will come immediately after 2 is you need to put except condition which might be qualified in earlier rules. Some time this is impossible to write the exact except conditions then for the same purpose you might need to write the multiple rules. the limitation in the rules are you can have only AND conditions for qualifying and ONLY OR conditions on the except conditions.