Regardless of the setting I make in Messages > SpamSieve - Change Settings whenever I manually ‘Train as Spam’ the message goes into On My Mac > Spam rather than into My Account > Spam.
This appears to be a problem with the latest version of SpamSieve as I’m sure it was working previously.
I don’t think this is a problem with SpamSieve 2.7.7 because:
I just tested it, and it worked.
No one else has reported this problem.
The relevant code hadn’t changed since September 2008.
Please make sure that “My Account” is at the top of the list in Mail’s preferences window and that the options in Change Settings are remembered between launches of SpamSieve and Mail.