I have now done it two more times to make sure I was not missing something. All three times have been the same results as I have described above.
When I do the Apply Rules now, I do not see where the messages go. They do not go to either spam folders (on my mac or server) or any other folder I have found. They just disappear.
I have no other plug in running or even installed.
SpamSieve is top rule. The only other rule is the News from Apple
Blue is the only color I get