I used Spam Sieve a few years ago, but ever since my webhost enabled spam filtering right on my server (and subsequently me moving to Gmail), I haven’t had a significant need for client side filter.
However, what I think would be useful is if when I executed a SpamSieve training command, it also triggered the similar action on the mail server. For example, TrainBad also simulating a click on the “Mark as Spam” gmail button (which oviously is virtual).
I realize that any implementation would be specific to the Service provider, and that this likely isn’t easy. But I think it would be a valuable feature. For example, I rarely get a Spam message that sneaks past Gmail into my in-box. But every week or so I do find some false positives in my spam folder. Helping Gmail learn about those messages is far more important than moving the message locally within Mail, and I’d rather not have to go to the Gmail web interface to do it.