There are a number of imap servers, gmail for example, which supports server side filters, i.e. new messages can occur outside of INBOX and mailnag does not handle this case. Besides, it is absolutely must to have the possibility of specifying a folders list which should be checked, i.e. I have a lot of imap folders inside of my account and I only need to get notification about few of them (kmail has exact this behavior).
Actually you can specify a comma separated list of folders in mailnag.