Earlier quoted context omitted.
That feature of course needs support server-side, but Thunderbird does have a Sieve add-on (in case sieve is enabled/available on the server). I don't use it myself, since I prefer to edit the sieve filter file directly instead of using a GUI for it, but the option is there.
I prefer to right-click on e-mail and "create rule from message" from context menu. Also, the feature doesn't require any steps to configure, install or enable, it just works out of the box.
Looking at the sieve website it seems quite a few desktop and web mail clients do have support for it either out of the box or as an add-on. So I would say that having this functionality is more on the "common" side than "borderline unique".