The mailboxes were always there, but a few versions back Apple changed the way they are displayed. It used to be that, if you were showing the consolidated/All mailboxes, Mail would hide the per-account ones. Now it shows both, and I don’t think there’s a way to change that.
I recommend using the built-in All Junk mailbox for that.
SpamSieve does not create any Junk mailboxes, and the Junk mailboxes that it uses will have the special junk icon:
The ones under On My Mac probably don’t. Mailboxes can suddenly appear if you go to Mail’s Settings ‣ Accounts ‣ Mailbox Behaviors and change the mapping. For example, if Mailbox A was selected as the Junk Mailbox it will only show up as Junk in Mail’s sidebar. But if you instead select Mailbox B for the Junk Mailbox, suddenly you will see Mailbox A appear in the sidebar. But that doesn’t mean the mailbox was created—it was there the whole time under a different name. And this is not related to SpamSieve, as it doesn’t change that setting.
This also suggests that what happened is that the Mailbox Behaviors mapping changed so that your smart mailbox is no longer in sync with the actual Junk Mailboxes. This will not be a problem if you use All Junk.
Please check whether this is actually happening because of SpamSieve.