The creation and general maintenance of the mail directory (or
mail subdirectory) is automatic.
I suspect there is a file configuration, directory ownership, or
directory protection problem here.
Since this is OpenVMS V6.2, use a privileged username to enable
security auditing for file access failures, enable the current
terminal as an operator via REPLY/ENABL=SECURITY, and send mail
from another username to the failing no-mail-files username.
The auditing message(s) should indicate if there is a protection
or security problem, and what it is.
Documentation on MAIL is found in the OpenVMS User's manual.