I have some mail that I marked as blocked in Apple mail and also Train as Spam in SpamSieve. I don’t have blocking turned on in mail but the darn stuff keeps showing up. SpamSieve isn’t blocking it. It could be some minor difference in addressing; I don’t know. I’m wondering what would happen to SpamSieve if I turn on Apple Mail blocking. As near as I can tell Apple’s block list is different from SpamSieve’s.
I don’t recommend using Apple’s blocked mail feature. It doesn’t do anything that SpamSieve’s blocklist can’t already do, and it can lead to confusion and incorrect training. Instead, please see this page. You can make sure Mail and SpamSieve are set up correctly and then see in the Log window whether the SpamSieve is looking at the messages (predicting them as spam or good) or not seeing them at all.