Unfortunately that feature is not available in the Gmail interface. This type of thing is what makes me not want to use it as a primary personal service... I ran across the feature request at one point on the support site, but I can't find the exact one now. Here's one from the Google Apps Help Forums.
You can kinda do it through gmail.
What you can do is (and I do this) have a "slave" account, which is an account you want to use that uses gmail, but you don't actually check this one, and a "master" account, which is the one you check and can send emails from as master and slave.
First open up your slave account, go to settings > forwarding and IMAP/POP
Set the account to forward all mail to your master account.
Next head into your master account, settings > Accounts and Import
in the send mail as: section, click the Send mail from another address button, add in the slave account's information. It will ask you to confirm in the slaves account (which should be forwarded to the master account, so check the master inbox), click the link and continue.
Following that, in the same settings> account and import, check the when receiving a message: reply as same address the message was sent to so that things will automatically be sent by the same account that received it.
Now you're good to go. If you want to, you can create a filter that puts anything to the slave account in it's own label, so you can easily see what account the message was to.
Best Answer
GMail doesn't support these flags, so there is no way to tweak it somehow.
Please note that
High Importance Flag
is something that is not defined in Internet Message Format (thanks @fretje for the link).