Thank you for your answers.
@chris_g1: it's not in an app that the mails are marked as spam. It's when they arrive in my account => it's managed on the server's side. I always disable options to manage spams in client apps like Mails on Mac OS, iOS or other like Thunderbird or Outlook. I always click the "not junk" buttom in the webmail but they still come there. The problem is: there is no way to say that it's a false positive. If I look in my hotmail account, I can mark a mail as legit (for my own account only) and I receive it like it should be. The other option to resolve this in hotmail is to add the address in my contacts. But here at icloud.com, it doesn't work. I haven't a gmail email address, but I think it works the same way.
Thank you for the link of the iCloud's support, I'll give it a try.
@tygb: I also thank you for your answer.
Your first URL has nothing to do with my demand: I ask a company to receive their newsletters. So I want to have it. I do not want to mark it as spam. For your second URL, Apple seems to be wrong. They say that:
Indicate that an email is not junk
In Mail on iCloud.com, click the Junk folder in the sidebar.
If you do not see the sidebar, see Show or hide the sidebar in Mail on iCloud.com.
Select the message or messages, then click the Not Junk button in the top right of the message window.
The message is moved to your Inbox. Subsequent messages from the same sender are no longer automatically marked as junk.
I receive something like 8 to 12 newsletters a week, I always do what they say but I still get those mails in my junk folder. Subsequent messages from the same sender are still automatically marked as junk.
I know that these are not junk as I asked myself to receive those e-mails. Using rules is not the best way to resolve this: it's fine to manage your e-mails, mark them as important if they come from a specific mail, color the mail, etc... But their purpose is not to manage mails marked as spam. Can you imagine if you have lot of mails in your spam folders ? One rule for each sender ? It could make lot of rules. And what will it happen if the sender's e-mail changes (It often happens when it's newsletters or mailing lists). You have to modify rules, manage them again and again. Lot of wasted time.
Anyway, I got something strange today: I received 2 mails. One yesterday at 11.06 PM and another one today at 5.52 am. Same sender. The first one in my spams, the second one in my inbox. Maybe will it be solved ? I'll see tonight when I will receive the next one.
Well, it seems that contacting icloud's support and write a feedback should be the best think to do.