Here are the help pages for SpamSieve and Multiple Macs and iPhone Spam Filtering. In brief, your mail and Contacts can sync via iCloud, but other SpamSieve-specific data does not. You can run SpamSieve on one or more Macs, and whichever Mac sees a new spam message will remove it from the others and from your iPhone. Training can be done directly on the Mac that’s running SpamSieve, or you can set up remote training to train from any device by moving messages into the special TrainSpam or TrainGood mailbox.
I was expecting that Mail That was trained as Spam on my Desktop, would not appear in my iPhone or Laptop or would be deleted automatically Via icloud.
The mailboxes should match on all devices, i.e. the Inbox shows the same messages everywhere, the Junk mailbox shows the same message, etc. This syncing is really up to Mail and iCloud; SpamSieve is not involved. If the mailbox contents don’t match, the first thing to do is figure out where the problem is. To do that, you can check iCloud Webmail as the source of truth. If it matches your desktop, then the problem is the other devices. If it doesn’t match the desktop, then the problem is likely on the desktop. For example, you might want to switch the SpamSieve rule to use the Junk mailbox and make sure that’s configured properly in Mail to be on the server. Mail is more reliable at moving messages there than to a local Spam mailbox.