Which version of Thunderbird are you using? Do you see the SpamSieve plug-in in the Extensions/Add-ons window? Did you enable the adaptive filter for all your accounts?
Did you enable it for all the accounts and for Local Folders?
If you select a message and click the Junk button, does it get marked with the green junk bin symbol and moved to the Junk folder? If you mark a message as Not Junk, does it remove the junk symbol?
If you select a message and click the Junk button, does it get marked with the green junk bin symbol and moved to the Junk folder? If you mark a message as Not Junk, does it remove the junk symbol?
In Tools > Junk Mail Controls, you have to configure the settings that you want separately for each choice in the “Configure Junk Settings for” pop-up menu.