“Identity” and “account” mean different things in Entourage. An identity is a complete Entourage environment, comprised of multiple accounts, rules, an address book, etc. You must follow the SpamSieve setup instructions separately for each identity. An account is a connection to a mail server that downloads messages for a particular username.
I’m not sure what you mean when you say you have a single POP3 account. Do you mean that you pay for one billing account and have three separate mailboxes/usernames? Does your Entourage rule say All Messages and look like the one shown below? What other rules do you have? Are there any rules in the Mailing List Manager window?