All channels, including DMs, have a default inbox - the inbox that messages in those channels will end up in by default. These are initially set up such that all DMs go to Important and everything else goes to Important. But you can and should update these defaults.
To change a channel’s default inbox first open the channel, and then click the channel settings button (or hit [,]).
You can also bulk update default inboxes on the Rules page (see Default Inboxes ).
The the Rules modal lets you update or bulk-update the default inboxes of your channels.
More info: