For most users, it works exactly the same as with previous versions of macOS. In some cases, with Catalina or Big Sur, due to a bug in Apple Mail, you will need to change the settings to use a server Spam mailbox instead of a local one. That should only take a minute or two. If you are having trouble doing this, please let me know where you are getting stuck.
No one else has reported a spinning beachball when training. As I said, I can look into this if you record samples from both Mail and SpamSieve during the beachball.