The reason is that I’m running SpamSieve on two machines. For one it’s running on my daily driver laptop. But since this is not always running, and also doesn’t always have an internet connection, I’m also running SpamSieve on my old macbook, which sits at home. So some messages in the Junk mailbox have been moved there by one SpamSieve instance and some by the other. But if there is a misclassification, I usually only “Train as Spam” for the SpamSieve on my main laptop, which means the SpamSieve database on the old laptop gets outdated. So from time to time I’m logging into the old machine, going through the spam folder. I then select the spam messages that were not filtered on that machine, run “Filter Messages” and train the ones not classified as spam. (Oh, and if I notice a wrongly classified message in the Junk mailbox, I try to “Train as Good” from the machine that put it there.)
If there is a better way to do this, I’m happy to hear it.
So then it seems there is an issue with the Spam Sieve app capturing the input while the focus is on Mail 
.