How not to download all emails when setting up a new Mail account?
Solution 1:
Are you using POP or IMAP? If you use IMAP, you can say in the Mail-settings to omit the attachments. This will only download the email headers and bodies, without heavily attachments. Maybe this can fit your needs?
Solution 2:
No - Apple desktop Mail.app doesn't have a setting to only download a window similar to how iOS does on Exchange.