Just got a new iMac, macOS 12.2.1. Downloaded SpamSieve 2.9.48 and followed the notes. I’m sure that it said to direct Spam into the Junk folder, at least that was where it was going for a couple of days. This morning I noticed a lot of previously designated Spam emails appearing in my inbox so I designated them as Spam again in the Messages menu (Apple Mail). it took me a while to see that a folder called ‘Spam’ had appeared in the Mail sidebar in the section called ‘On My Mac’.
I hadn’t been aware of doing anything to alter Mail or SpamSieve.
Just thought I’d post this as an odd seeming quirk. It does seem to be working fine.