Please use the Save Diagnostic Report command in the Help menu and send me the report file, as described here. It would also help if you could save one of the list messages (in Raw Message Source format and include it as an attachment.
Which app are you using to read that mail account? Are the unscanned messages in your inbox or in another mailbox?
Thank you for the follow up. I was certain I went through all these steps when I did my setup just a few months ago. But, apparently, the junk mail filtering was still on. I made the suggested changes as have restarted Mail. I look forward to better filtering.