It sounds like this has nothing to do with SpamSieve and the issue is that a server junk filter is moving the messages to Junk. There’s some information about that here. You can tell which messages SpamSieve moved to Junk because they will have a colored background in the message list:
There are no junk/spam settings in the iCloud Web interface. If you want to use iCloud but don’t like its junk filter, you could set up SpamSieve to rescue the good messages out of Junk.