Looks like in the new messaging experience you are no longer able to flag messages. This is causes issues as we flag messages to allow team members to know what needs resolving etc.
There are still limitations in the system. You can't add folders (or delete them). The flag functionality has been removed but it does look like ebay are adding functionality back in (they added visible order IDs back a week or so ago)
If you already had a folder that was called ' follow up' you could move messages to that. Or you can mark messages as unread.