I have looked only as far as Apple Mail Preferences in OS X El Capitan, but do I have a choice to set up a SpamSieve Mailbox?
I’m not really sure what your question is. SpamSieve works the same way with Mail in El Capitan as with previous versions. This is the most common configuration that people use with SpamSieve.
I have not read the SpamSieve Manual, but I have installed the Apple Mail plug-in and I do see SpamSieve’s commands in the Apple Mail Messages Menu. I don’t see a Spam Mailbox; isn’t this the way to train Mail the difference between Good & Spam? I have been using SpamSieve for quite a while.
I would appreciate your help if I need it.
Everything is explained in the manual. Normally, you should create the Spam mailbox, if you don’t already have one, and set up the rule in Mail to move the spam messages there. Training happens via the SpamSieve commands in Mail’s Message menu.