Where does Spam mail go after it is identified as such?

When I flag/train a new spam message as such, it vanishes from the Inbox – and from everywhere else as well. Nothing in Junk, Trash, or Spam. When I check these folders periodically, there is nothing in any of them. Presumably, SpamSieve is filtering spam messages – but where is it sending them? I’d like to review to be sure that they’re spam.

If you are referring to training from Apple Mail, SpamSieve asks Mail to move them to the location specified in the Training settings:

If you have selected a mailbox on my Mac or you have configured Mail to store the Junk or Trash mailbox locally, moving the message there will have the effect of removing it from all other devices.

You can also see the messages in SpamSieve’s Corpus window:

You can sort by Trained to see the most recently trained messages. Select the Message tab to see a preview of the message or use the Open in External Viewer command to open SpamSieve’s copy of the message in Mail.