It’s possible that the messages are being moved by a mail program on another Mac, device, or server.
To see whether the messages are going to the Spam mailbox because of SpamSieve, choose Open Log. For a given message, if the log says Predicted: Spam that means SpamSieve thought that it was spam. If it says Predicted: Good or there is no Predicted entry, that means the message did not end up in the Spam mailbox because of SpamSieve. Perhaps a spam filter on your mail server is responsible.