For the benefit of anyone googling this behaviour, I can confirm what happened to me today, which is a bit like what UptimeJeff and Fred Turner describe.
1. I received an email into my iCloud account (on my macbok pro). Mountain Lion's Notifications flashed up the fact of its existence for a split second, so I knew the email was real.
2. It did not materialise in my inbox! This was odd. It was not in the junk folder either!!
3. I started googling and thinking about options such as rebuilding the mailbox and even deleting the Envelope index. (I had recently done the latter to fix the useless search results I was getting in Mail.app - I also re-spotlighted everything too...)
3. Anyway, by reading other people's ideas, I had one. I went to my other mac, a desktop mac mini, and checked for the message in the junk folder there. And sure enough, that's where it was. This is because I needed to fix a setting, as follows.
MAIL --> PREFS --> ACCOUNTS --> iCLOUD --> Mailbox behaviours --> tick "store junk messages on server".
(I fixed this on the mac mini, but I perhaps had it unticked on both Macs, as perhaps the settings are sync'd via iCloud anyway? It is ticked on my laptop as I write this.)
To explain: the message was coming in, and the Mac Mini was treating it as junk, moving it to its junk folder, then deleting the server copy. It wasn't appearing in my junk folder on my laptop, because, by definition, it was in a junk folder on the hard drive (not the server) of my mac mini only.
I hope that helps people. When in doubt, check all your macs and devices for this setting.