When I click Train as Spam, the email goes into Trash instead of Spam. Maybe it always did this and I never noticed but it doesn’t seem to be correct. I am running Mac Mail.app under Mountain Lion with SpamSieve 2.9.5
Oops!! When I posted this I got a list of similar posts. One of them answered my question. SpamSieve - Change Settings allowed me to correct where mail goes when trained as Spam. Of course, unanswered is how this got changed in the first place, but at least it is working correctly again.