Spamsieve is not training Good or Spam messages, try to use the keyboard shortcuts and the menu and the messages go back to the original folder they came from.
Are you using Apple Mail?
Does SpamSieve’s Log window show that the training is taking place?
Yes, I am using Apple Mail, the menu icon turns green, it looks like it’s doing something because the emails disappear but they come back again to the spam folder.
Are there any other devices accessing this mail account? Perhaps another Mac is seeing the message in the inbox as new and moving it back?