SpamSieve doesn’t actually move or delete anything. What happens is that Mail evaluates the rules and sends the message to SpamSieve for analysis, SpamSieve tells Mail that the message is spam, and so Mail applies the rule’s actions.
Normally this should do exactly what it looks like (in this case move the message to the location that you specified and mark it as read), but there is a bug in some versions of Mail where in some situations it will delete messages instead of moving them (either via rule or otherwise). It looks like this may be what’s happening here. We recommend that the rule should move the messages to the All Junk mailbox:
That will avoid the bug because Mail will move each message to the Junk mailbox within the same account. It looks like you may have chosen a particularJunk mailbox as the destination. That will make Mail move the messages to another account’s Junk mailbox, which can sometimes trigger the bug. If that’s what happened, the messages are deleted from your Mac, unless you had enabled SpamSieve’s backup feature. (This feature is enabled by default and enhanced in the forthcoming SpamSieve 3.) Your mail provider may have a backup.
It’s also possible that this is not the reason that you aren’t seeing the messages. For example, they could have been moved out of the Junk mailbox by another computer or phone or auto-deleted by the mail server or Mail if it thought they were old.
Going forward, I strongly recommend changing the rule in Mail to use All Junk and setting Mail to store each account’s Junk mailbox on the mail server.
Lastly, you wrote that SpamSieve was “not trained a lot,” but the screenshot shows that it was trained with 1,619 spam messages, which is about 10× more than is necessary for good filtering. I wonder if part of the problem is that it was trained with lots of spam but not many good messages (that number was not shown in the screenshot). There’s more information about the recommended training here.