You can choose SpamSieve - Change Settings from Mail’s Message menu to customize SpamSieve’s behavior in Mail.
The settings are:
When you choose “Train as Spam,” should the spam messages be moved to the special Junk mailbox?
If you click No, it will ask:
Should “Train as Spam” mark the messages as read?
When you use “Train as Good” on a message in the junk/spam mailbox, should the message be moved back to the inbox?
When you use “Train as Good” on a message in the junk/spam mailbox, should the message be marked as unread?
Should incoming spam messages be colored according to how spammy they are (darker means more spammy)?