I’ve followed the instructions but most of the time junk mail go to the ‘Junk’ folder, instead of the Spam folder. I don’t understand why.
This is normal. The messages are going to the Junk mailbox because of the iCloud server junk filter. It catches spam messages before they get to your Mac, so those messages are already in Junk when Apple Mail first sees them, and they are not processed by SpamSieve. For more information, please see this page.