This help page describes how to tell SpamSieve to use the iCloud Junk mailbox:
Is it possible to do this with the Remote Training script, when you also have other multiple standard IMAP accounts using a mailbox called Spam?
The only way I can think it would work is to change the script to read:
"property pSpamMailboxName : “Junk”
And then SpamSieve rules to point to Mail.app’s Junk mailboxes (which already exist in my case).
Is this the right approach?