Hey there and welcome to Apple Support Communities billbennettnz,
We can certainly understand your concern and are here to help.
We would like to ask you a couple of questions in order to get a better understanding. First, do you have any filtering rules enable in Mail that could be auto junking the files? We recommend checking out this link for more details on how to manage this feature: Set up rules to filter email in Mail on iCloud.com - Apple Support
Also, do you have any filtering rules with your email service provider that could be moving the mail to the undesirable location? Finally, does this issue happen on any other device?
We thank you for your answers, they will help guide us to the next troubleshooting step.
Kindest regards!