I agree- that is the default behavior for Outlook and there’s no way (that I’ve every heard of) to make Outlook think otherwise.
There could be a possible work-around though. I believe that with the pre-Outlook Exchange 5.5 client, permissions were set all the way down a folder tree. The Exchange 5.5 client will open Exchange 200X mailboxes and actually gives you some management power that Outlook does not. Unfortunately, the client is increasingly hard to find, and due to my the time lag and my memory, I can’t give you a 100% certainty that it will work. It’s worth a try though.
The other option would be to set the mailbox permissions on the Exchange server instead of micromanaging through Outlook. If User X needs Read permissions to the entire mailbox, grant it at the server level in one easy step and then manage the exceptions through Outlook folder permissions. This works great if you are the Exchange admin, but you will most certainly get push-back from the admins if you’re not.