I had a couple of updates to Catalina and spamsieve was acting funny, so I went through the installation process to see if everything matched and I think that it all did. That done, I am not getting anything in the spam folder although the junk folder keeps getting stuff in it. I’m running Catalina 10.15.5 with Apple Mail 13.4.
Checked the log and it is regularly showing Predicted: Spam along with Predicted: Good emails since I went through everything. When I train an email as spam, it obediently goes into the spam folder and stays there, but nothing that is predicted as spam is ever there. Where is it going? I don’t mind never seeing that garbage, but if there is an error and a good one gets marked span I will never know.
It should be going to the mailbox selected in your SpamSieve rule in Mail’s preferences. (This may not be the same location as where spam messages go when you manually train them.) You could try searching Mail for some of the “Predicted: Spam” message subjects/senders that you find in the log to see if the messages are ending up in an unexpected place.
It’s also possible that you’re one of the unlucky people running into the Mail bug in Catalina that deletes messages when moving them. If that’s the case, you could enable SpamSieve’s backup feature and also try changing the rule to use a different Spam mailbox (e.g. on the same server as the problem account’s inbox, or under On My Mac), as sometimes Mail is better at moving messages to certain types of locations.