Normally the Spam mailbox is kept on your Mac, as this is faster and doesn’t
fill up your server account with spam. If you prefer to keep the spam on your
mail server (so that it’s available on all your devices), you can:
- Create a Spam mailbox on the IMAP or Exchange server. If you have
more than one mail account, you’ll need to either create one mailbox per
account or else SpamSieve will move all the trained messages to the
account that does have the mailbox.
- Open Mail’s preferences and find the SpamSieve rule. Select the server
mailbox that you want to use. (You can optionally use a separate mailbox
for each account.)
- In Mail’s Message menu, choose SpamSieve - Change Settings. Enter
the name of the mailbox created in Step 1. When it asks you, “Should messages
marked using “Train as Spam” be stored in a local spam mailbox (rather than
on the server)?” click No.
See also: Setting Up a Spam Filtering Drone.