This feature is available for all IMAP and Exchange accounts. It will create an Archive folder directly inside that account so your messages stay on your mail server.

There are several ways to archive a message. The convenient 'Archive' button is located in the top toolbar. You can also right-click any message and select ‘Move to Archive’ or use the keyboard shortcut – ‘A’ by default, but you can change it in Menu > Settings > General > Shortcuts on Windows or eM Client > Preferences > General > Shortcuts on MacOS.