It's a huge time suck to have to move each message individually, or even in groups. The option to select all emails and 'Apply Rules' used to work properly before the upgrade to Catalina, so it appears that something got broken in the way Apple Mail communicates with Gmail with Catalina. The only way to move them permanently out of the Apple Mail Inbox (and out of the Gmail Inbox on the server, while leaving a copy in Google's 'All Mail' folder), is to highlight an email in the Apple Mail Inbox, then either manually drag it to the local folder, or go to 'Message,' then 'Move To,' and choose the local folder to which you want it moved. Consequently, the next time Apple Mail checks for mail, those emails reappear in the Apple Mail Inbox.
those emails are NOT removed from Gmail's Inbox as they should be (and as they were before I upgraded to Catalina). When I select all emails in my Apple Mail Inbox, then go to 'Messages' in the menu, then 'Apply Rules,' the emails in the Inbox for which there is an applicable rule initially disappear from the Inbox and appear in the local folders to which they were moved, as is supposed to happen, BUT. I am having this issue, too, but with all emails that come into my Apple Mail app.