The following is just venting and not at anyone in particular. What a PITA. The setting should be greyed out if it's only available during setup. Or the right way should be a gesture or load more bar at the bottom of the message list.
update: I see that it applies the count setting going forward but lacking a way to get at older mail from the mail app outside of setting up the email connection as new, this is basic and lacking it is still broken in my book.