Yes, because you had said that on your Mac the shortcuts were the same.
OK.
I guess you would need to try it directly, without screen sharing. But I can say that for me the shortcut works fine via screen sharing.
That’s normal, because with the older plug-in based setup the Filter Messages functionality was available via the Apply Rules menu command.
There is unfortunately no way that I know of to see which app/service is claiming a particular keyboard shortcut. If you can’t figure out where the conflict is, you could use this Terminal command to change the shortcut for Filter Messages:
defaults write com.c-command.SpamSieve KeyEquivalentFilterMessages l
(Change the l to the desired letter; the modifiers would still be Command-Control.)
Or, since you’re on Big Sur and using the plug-in, you could just use Apply Rules and its shortcut Command-Option-L.