Destination folder doesn't exist

For spam, I want spam messages to go directly to the trash. However, if I create rules that send messages to the trash, I get a message that says, "Destination folder doesn't exist." It is saying the Trash folder doesn't exist, even though I can see it. Lately, this is happening on iCloud and Mail using Lion. I am really trying to block, or immediately delete spam messages, by some entity purporting to be Dr.Oz using messages that push Green Tea.

I wish Apple would give the user more control, but the trend seems to be providing less and less user control. In addition, Apple seems to be the only mail provider that refuses to have a "Report spam" option. I not only want to classify it as Junk, but report it as spam as well.