I used to have a problem with all the junk mail arriving not being marked, even after a week of training. Apparently, it seems that if one of the .plist files in your user library screws up, Mail won't behave the way it's supposed to. I went to (user)>Library>Mail>V2>MailData, and deleted everything in there, as well as all the folders in MailData having to do anything with my email accounts. A bit drastic, but I was desperate. In essence, just deleting the .plist files that pertain to the problem should do the trick. Also make sure to hold Mail's hand for a week after this, and make sure to mark all junk and non-junk as such. Hope that helps!
The folder will rebuild itself correctly if mail detects anything missing, but I agree with your reluctance to just start dragging stuff to the trash without thinking. The MessageRules document and it's backup contain rules on when to move junk into the mailbox, as well as any other rules you have made in your mailbox. If these files become corrupted, it could result in the type of behaviour you are seeing. Before you delete these files, write down the rules you want to save. Don't use the computer to copy-paste any of the code, because it could be corrupted.
The next target on your list is the LSMMap2 file. It's just a bunch of seemingly random characters, but all I know is that the more messages I mark as junk, the longer it gets. Again, if you delete this one, and start up mail, it will create a new copy of the file (blank, hopefully).
In a few days, if the junk mail still isn't being treated as such after you have marked a few messages, you will have to delete the Junk mailboxes (.mbox) as well as starting over again with the previously mentioned files. Make sure to delete all the Junk mailboxes, which hide in the foders with your account name(s), and also in the generic Mailboxes folder, which contains the mailboxes stored on your computer.
Other than that, the only thing I can think to do is to just trash the folder, but deleting just the files above should take care of the problem.
When deleting the files make sure that Mail is not running at all, and just to be safe when starting up Mail, empty the trash beforehand.
Best of luck!