Beta fixed the problem with training as bad, but only for a day

Is the message in the iCloud account’s inbox or in another mailbox in that account?

If you look in Mail’s Mailbox Behaviors preferences for that account, is the Junk mailbox configured to be on the server or under On My Mac?

To investigate this further, you could also enable some debug logging. Please click this link. After relaunching Mail and SpamSieve, try training one of those messages as spam. Then send me a diagnostic report.

For example, if you found this thread it was talking about the SpamSieve 2.9.47 beta, which concluded when that version shipped in December. The current beta for SpamSieve 2.9.48 does not include any changes for Train as Spam. So if you saw the problem get better and then get worse again (without changing the SpamSieve version) it’s probably related to Mail or a server issue, not SpamSieve.