Where is the spam folder for iCloud.com emails

Mail, mailboxes, scroll to iCloud, tap on the little arrow on the right side

In Mail, move your mouse pointer to the right side of iCloud until you see a + sign. Click on it and then you can add a spam folder

You can also go to Favorites at the sidebar, click on the + sign and add all spam folders in case you have more than 1 mailaccount