There’s an Apple Mail bug that can prevent messages from being filtered automatically (via the Mail extension, which is required on macOS 14). SpamSieve has a built-in workaround for the bug, but in version 3.0.1 the workaround is limited to mailboxes with 5,000 messages. Your first step should always be to check the setup, but my guess is that you are running into this bug and that your inbox has too many messages for the workaround. That would be mentioned in the Log window and in the Settings ‣ Apple Mail ‣ Setup window.
There is now a public beta version of SpamSieve 3.0.2, which extends the workaround to mailboxes of all sizes, so updating to that version should fix the problem.