All emails are stuck in SpamSieve folder

I am not sure what I have done wrong…

All arriving emails are stuck in SpamSieve mailbox.

Plug-in is installed and I can see the command under the message drop-down menu.

As I train the messages spam and good that are in the SpamSieve folder, they move to appropriate folder but they do not move out of SpamSieve automatically

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It looks like your SpamSieve rule in Apple Mail is not set up properly. This is why every message is going to the Spam mailbox, yet SpamSieve has filtered zero messages (according to your screenshot).

Messages are not supposed to move out of the Spam mailbox automatically. The way it works is that all incoming messages arrive in your inbox, and the spam messages then move to the Spam mailbox. Messages only move out of the Spam mailbox when you (manually) train them as good.