When you train a message in the Junk mailbox as good, SpamSieve normally moves it back to your inbox. If the messages are not going to the inbox, see the Why does a message disappear or go back to the Junk mailbox after I train it as good? section.
If the messages are going to the wrong inbox, follow the instructions in the Setting the Junk Mailbox in Apple Mail section to make sure that each account’s Junk mailbox is stored on the mail server. Also, make sure that you’ve told Apple Mail about your account aliases in Mail’s Settings ‣ Accounts ‣ Account Information window. The Email Address menu (for the proper account) should list the address that the message was sent to.
If you are using the Mail plug-in setup, make sure that your SpamSieve rule in Apple Mail is set to move the messages to the special All Junk mailbox.