While not impossible, I find it unlikely that the Mail app is sending mail to trash unless you have set up rules to tell it to do so, which you said you have not done. It is more likely to be the Exchange server doing it before it gets to you. It might have a spam filter that is doing it.
If you have a webmail URL to get directly to your Exchange mail, perhaps you can log in there and see if any rules or filters are set up there. Also talk to the administrator/helpdesk about their spam filtering.
If you have webmail access and if you can find a sender that it always happens to or some other condition that always makes it happen, you can set up a test. Quit the Mail app so it is definitely not involved. Use Exchange webmail. Have the sender send you an email. See what happens in webmail when Apple's Mail app is out of the picture.
Also, you posted your problem in the Apple Numbers app forum, not a forum about the Mail app. It may get moved to the correct forum where more people will be able to help.