I get some emails into a Thunderbird folder that don't show up until I
select to show all UNREAD emails at the top.  When I have show ALL
emails they are not there.  What setting would do this?

Perhaps Thunderbird classifies them as threads, or they are being
filtered.  Here is an excerpt from Mozilla's suggestions for
frequently encountered problems on 'Disappearing Mail':
    
    *  Check to make sure that "View -> Messages" and "View ->
Threads" are both set to "All".

    * Look in the Junk and Trash folders. Depending on how you have
the Junk Mail Controls set up, messages can be sent automatically to
the Junk folder or Trash.

    * If you have set up message filters, some of your incoming
messages might be getting sent to folders other than the Inbox. Check
your filter definitions in "Tools -> Message Filters" and choosing the
problematic account from the top drop-down-list. You can check the log
file by pressing "Filter Log"; if logging is disabled you may want to
enable it to help if the problem recurs.

If these don't work, try the other suggestions:

http://kb.mozillazine.org/Disappearing_mail

-anhebetude