Add a mailbox for my new custom domain in Apple Mail

Hope someone can shed some light in this issue. I already setup my new domain wit iCloud Plus. I have created 2 emails, both are working fine, but every time a new mail arrives, it hits my main iCloud Mailbox. I want to have a mailbox for each email account. I sure can add a new mailbox. All it does is create a folder with the name I give to it, but it won't show any mail since it hits my main iCloud mailbox.

Apple's support representative, have no idea how to do this.

Last year I manage to make it work with a different domain, but I can't remember what I did to make it work. Thanks in advance.