Normally the messages will be moved to the Spam mailbox so that they no longer appear in the inbox. First, please check your SpamSieve rule in Mail’s preferences to make sure it’s set to Move Message rather than Copy Message.
If that’s not the problem, my guess is that you’re running into an Apple Mail bug in macOS 10.15 that, for a small number of users, causes rules to copy messages instead of moving them. There are some workarounds described on this page:
Recent versions of Mail have problems communicating with certain mail servers. Mail is more reliable at moving messages from the inbox to another mailbox on the same server than it is at moving the messages to a local mailbox. The Using a Spam Mailbox on the Server section of the manual explains how you can store your spam on the IMAP or Exchange server, so that Mail is better able to move it out of the inbox.
A bug in macOS 10.15, affecting a small number of customers, can prevent messages caught by the normal SpamSieve rule from moving to the spam mailbox, leaving them colored in the inbox. It may help to click this link to tell SpamSieve not to mark spam messages as junk on the server. You can also work around this by instead using an Apple Mail Script Rule.