You have an IMAP account rather than a POP account. IMAP accounts don’t have this same failure mode, and the way to configure the Junk mailbox is different.
Are you having spam messages colored as spam but left in the inbox?
Do they move to Junk when you train them as spam?
Are you using the Mail plug-in or the Mail extension?
That’s fine. Is Junk E-Mail located on the mail server or under On My Mac?
It seems from the screenshot that you already have one?