You can accomplish seeing sub-folder notifications with Windows 10 Mobile with some outlook rule tricks. One way is by simply editing the outlook rule used to move the email to a sub-folder. The option you want is "display a Desktop Alert." While this does make the rule client-only and thus only works when Outlook is running, it is a workaround.
Unfortunately, you can't just create a rule for notifications. The reason this works is because it stops the email from being sorted server side in Exchange and so for a brief moment, until your desktop outlook application sorts it, it shows up in the inbox.
Also, if you have Clutter, Junk, etc in OWA turned on and the email goes in there, you won't get notified on your mobile phone, except by manually looking in that folder and syncing it.
I'll agree, this is a pretty weird (If not horrible) workaround and I don't like it. But it's the only way I've found around this issue until Microsoft fixes it, if they do.
Special thanks to reedmich on the thread for the initial tip...