It is not possible to turn off iCloud’s junk filter, and iCloud deletes some suspected spam messages without even putting them in your Junk mailbox. Thus, iCloud is not one of our Recommended Mail Hosts.
If iCloud’s junk filter is moving good messages to the Junk mailbox, they will show up in Apple Mail’s message list with a white background and/or brown text, as compared with the messages caught by SpamSieve, which have black text and a colored background.
You can can train iCloud with those messages using iCloud.com (not from within Mail) or set up SpamSieve to scan the Junk mailbox and rescue the good messages.