Mail is showing you want it thinks is Junk but keeping it in your Inbox. To create a Junk Mail folder do the following steps. Just don't forget to check the Junk folder and mark anything that isn't actually junk.
In the pulldown menu for Mail
Mail -> Preferences -> Junk Mail
"When Junk Mail arrives", check "Move it to the Junk Mailbox"
Same problem here. The iCloud junk filter is unrelated to the one on my Mac and is severely lacking features to "unjunk" real stuff that end up in the junk folder, giving far too many false positive and those who end up in the junk folder.
What is the purpose, btw, to have no less than two junk folders on iCloud. The real one, which I have meticously taught what is spam and now another one which thinks that all my real mail is spam - and which does not even catch any of those apparent spam mails, like one I just got from a fake "Visa" address.
The only way I have found is to go to icloud.com, call stuff spam and then un-spam it again, but I have no idea if the filter will learn from that, like it has done on my Mac with a lot of training of course.
Another thing that is really stupid is that you cannot turn off the spam filter on iCloud.com, so that every 9 out of 10 mails end up in the iCloud secondary junk folder (both on my Mac and on icloud.com of course, one of the fine features of IMAP...)
I am really annoyed by this.