how to turn off Junk mail completely 2021 Catalina

Boot into Safe Mode by booting with the Shift key held down and do what Ikrupp suggested.  Reboot normally and test again.

NOTE: Safe Mode boot can take up to 10 minutes as it's doing the following; 

• Verifies your startup disk and attempts to repair directory issues, if needed

• Loads only required kernel extensions (prevents 3rd party kernel/extensions from loading)

• Prevents Startup Items and Login Items from opening automatically

• Disables user-installed fonts 

• Deletes font caches, kernel cache, and other system cache files

Mail->Preferences->Junk Mail->Junk Mail Behaviors->uncheck 'Enable junk mail filtering'

Mail_.Preferences->Junk Mail->Blocked->uncheck ‘Enable blocked mail filtering'

Now you’ll get it all unfiltered.

Have you tried restarting your Mac after making the changes? Just a thought. Other than that I would suspect something is wonky with your installation. You might also try restarting your Mac in ‘Safe Mode’. Hold down the Shift immediately after restarting until you see the progress bar. Restarting in Safe Mode can take up to ten minutes because a whole slew of maintenance routines are performed like clearing caches, integrity checks. While in Safe Mode check to see if the Junk mail is still being filtered. Another tip is to delete Mail’s .plist file which is where preferences are stored. The .plist file can become corrupted. Deleting that file, though, will reset all of your set preferences to default and you’ll have to reestablish them all. Holding the Shift key down when you launch Mail should reset it.

Just routine troubleshooting I use when confronting glitches and wonkiness.

Use Thunderbird.