When I have a message located in the Spam folder and I select it them choose “train as good” from the menu bar, both applications hang. I have to Force Quit Mail [9.1] that triggers SpamSieve [2.9.22] to quit. This is a problem that has been present for me ever since I upgraded to OSX 10.11. I find Mail to be rather buggy in general with OSX 10.11 anyway.
Please see this page.
I did not receive a reply, so I’m assuming that the problem was resolved.