I realize this is a long time after, but I just upgraded to SpamSieve 2.9.44. I’m on Big Sur 11.5.1. I just started getting the problem - cmd-cntrl-G just causes a beep. As does cmd-cntrl-S.
This is probably a general training issue, not related to the keyboard shortcuts. Can you test the menu commands to be sure?
You could also try clicking here and here to disable some old training workarounds that are probably no longer necessary and may cause problems.
It turned out to be that SpamSieve was disabled and I somehow missed the message. I’ve had it happen a couple of time. Typically just reenable it under Mail - Preferences - Rules fixed it. Once I had to go to General - Manage Plugins. When it happens, it’s always something to do with an update to MacOS, Mail, or SpamSieve. One or the other is out of sync.