Sonoma 14.5
When I’m in full screen on a secondary monitor, I see the SpamSieve icon but I can’t select it. If I put myself on the main screen, no problems.
This a known issue, which I think is caused by a macOS bug. You can still train SpamSieve using the keyboard shortcuts or by using the Dock menu.
I looked into this some more, and it does seem to be caused by a macOS bug, but you can work around it by unchecking Show Dock icon in the settings.