Well, I’m confused because you posted twice. The first time says, regarding the “Move All SpamSieve” rule, “All messages stay in the inbox.” But then the second post (which I didn’t see when replying) says “Yes, all messages are moved.” If you are saying that the same rule changes whether it moves or doesn’t move when you change its name, then I would suggest clicking these two links to tell SpamSieve not to mark the messages as junk or to change their colors when applying the rule, in case that’s somehow confusing Mail.
On which account? My point is that if the problem is that Gmail messages are not moving, it may help to have the rule set to move messages to the Gmail Spam mailbox.
Another potential workaround is to use a rule that runs the Move If Spam script instead of the regular SpamSieve rule. Moving the messages via script rather than rule might avoid the problem.