The biggest disappointment many people have in Gmail is when we try to sort messages. There was never any way to sort by anything. It's always default to descending date. If you need to browse your mailbox in a different way, get IMAP and an email client. While I kinda agree with this approach, sometimes I do miss at least being able to sort dates in reversal order (oldest first).
You can try and suggest it as a new feature. It's even already pre-suggested there! Maybe some time in the future we'll have it.
Move To drop down is there just because too many people were too lazy to re-learn how to manage their mailbox and requested folders. It's just a hack that actually does 2 commands at once:
insert label "foo" and
remove current label - which can be
inbox, a system label. Similarly,
Archive is a hack to
remove inbox label.
Now, if you, reader, are willing to understand why Gmail is so different and so many people like it... Keep reading, including every link. ;-)
You really should learn more about Gmail labels. It's not just how to use them. It's a whole different organizational approach. In the long run you will enjoy much better if you structure your mails with labels rather than folders because there really is no need for folders once you get used to it - at least for a regular person mailbox. And, by the way, the idea is keeping the inbox empty through archiving.
Try to re-think how you handle your mailbox in general. There's no need to use a lot of old resources-on-how-to-find-mails such as folders and sorting because you can simply search. And so labels are all about adding keywords to most relevant items or to highlight them in another way.
The disadvantage labels used to have is that with too many of them, the labels menu can get messy for browsing (like you would browse folders). But that was "fixed" with nested labels. Actually a much better fix is using less labels or hiding the less used ones. We hardly ever need that many.