First, please follow the Checking the Apple Mail Setup or Checking the Apple Mail Setup (Plug-In) instructions to make sure that Apple Mail and SpamSieve are properly set up.
When using the Mail extension, a limitation of macOS is that extensions only see new messages that remain in the inbox. Extensions do not have access to messages that were moved to another mailbox by a Mail rule.
You can use the Filter spam messages in other mailboxes option to have SpamSieve filter messages in other Apple Mail mailboxes after they have been moved by a Mail or a server rule. Just click Select Mailboxes to Filter… to choose which mailboxes SpamSieve should periodically check for new messages. This happens on a slight delay. If you want to see for sure whether a message outside the inbox has been processed yet, you can enable the Add green flag to unread good messages option or check the Log window to see whether there is a Predicted log entry.
We strongly recommend granting SpamSieve Full Disk Access. Otherwise, filtering will be be slower and report an error for mailboxes containing more than 10,000 messages.
Inbox
If the unprocessed spam messages are in your inbox, see the Why are Apple Mail inbox messages not being processed? section.