Using Spamsieve 2.9.38 with Airmail 4.0.4 on a Mac Mojave 10.14.6. It seems to work when I use “train as spam”. The e-mail disappears from my inbox. However, I do not know where it goes and so cannot correct the training if necessary. My spam box on Airmail is totally empty and they are not put in the trash. Sorry if this has been addressed, but I could find the answer in the faqs or topics here.
The destination is controlled by Airmail, but it should be the regular Airmail Spam mailbox that appears at the very bottom-left of the window. In the Mapping tab for your account in Airmail’s preferences, you can control which server mailbox corresponds to the special Spam mailbox in Airmail.