While I've not seen that particular message, probably because I don't usually have any other mailboxes open, I do see another message about 'applying the rule' to the Mailbox in use at the time. The answer is really up to you. There is no right/wrong.
In determining when to say "Apply Now" you need to think about where and what that rule will apply to. If that is the only message in the Mailbox or you are already in the that the rule might send it, there is not really any point in applying the rule.
OTOH, if you are still in the In Box or another 'common' box that could have several messages that the rule would affect, then go ahead and apply the rule and get all those messages to where ever you want the to go, even if that is the Trash.
Apparently, the app is 'smart' enough to understand where it is when you save a rule and the message wording is changed to fit the environment.
In any event, always applying the rule should not hurt anything, it just might not actually
do anything, either.
Other, longer-time users of Mail may bring other info and facts into this, I'm pretty much a noobie (except for getting my wife's iBook working the way it always used to before I upgraded her to leopard while she was away!
).
