Perhaps your email provider is moving them into the Spam mailbox before they get to you.
If you are using iCloud for email, it has a separate Junk filter. Almost every email provider provides some Spam filtering.
At one time it was obvious if Mail moved the message or it was put there by the email server. I'm not sure if it still is. I don't get enough junk mail to determine if it still marks them differently. If they were a brownish-yellow color and had the message "Mail thinks this is Junk," then it was Mail that moved them. If it didn't, then it was moved prior to arriving on your Mac.
If there is not an obvious difference, the only way I think you could determine the cause is if you cleaned up the current junk, closed Mail, then only accessed the email through your provider's web portal. If messages get moved to Spam (or Junk if iCloud), then it is the server doing it.