Yes the folder structure will be automatically created if the messages are moved to the archive by a retention policy.
From: http://technet.microsoft.com/en-us/library/dd979795.aspx
"Messages are moved to a folder in the archive mailbox that has the same name as the source folder in the primary mailbox. If a folder with the same name doesn't exist in the archive mailbox, it is created when the Managed Folder Assistant moves a message.
Re-creating the same folder hierarchy in the archive mailbox allows users to find messages easily. "
Tim Harrington | MVP: Exchange | MCITP: EMA 2007/2010, MCITP: Server 2008, MCTS: OCS | Blog: http://HowDoUC.blogspot.com | Twitter: @twharrington