Junk or not junk?

There are no rules mentioning the Junk folder or doing anything with it. I have checked on all my Macs and iCloud.com.

I would say both. It's the same folder that is synchronised between iCloud.com and all my devices. I have turned on the option to store the Junk folder on the server. I think the filtering happens on the Mac. When the option to move junk mail to the Junk folder is turned on, the folder is named after the description I gave my iCloud account and it is under the special Junk section just below Trash. When the option to move junk mail to the Junk folder is turned off, the folder is called Junk and listed as a normal folder at the bottom of the iCloud folder list.

I changed it to "Mark as junk mail, but leave it in my Inbox", but I received another email from my bank after that, and it was also put into the Junk folder.

There are no rules in the iCloud web interface and I have not installed any third-party spam filtering software on my Mac. Any other things I can check? As I said it is not being marked as junk, only moved to the Junk folder. I cannot unmark it as junk unless I first mark it as junk manually.

When I took a closer look at the "junk" emails on icloud.com, I could see that I was able to mark them as not junk there (which I could not do on the client). Hopefully doing that will prevent this happening from the same sender in the future.

No I have not found a solution.