For every one of those emails, so to iCloud.com and drag the message from the Junk folder to the inbox. That will let iCloud know those messages are not spam and hopefully train the filter. You need to do it from icloud.com and not the Mail app as that won't train the filter. See if that helps after a a few messages.
According to the OP's settings in his screenshot in post #3, I'm wondering if it would help for him to have junk mail kept in the inbox so at least he'll see it (first choice under "When junk mail arrives"). He can see that it is considered spam and can move it later. This will keep him from missing mail but junk will be marked with a yellow box at the top. He currently has it set to go to the junk mail box. The downside is that all junk mail will go to the inbox instead of the junk folder, but he can change that after the filter is trained a bit.
Yes, I think you are correct that that would help. Still going to be a hassle though since they are being flagged server side, so he will need to login to icloud.com every time to move them and train the filter.
That setting is for client-side use, not server-side. Try it and see how it works after some test emails from other providers.
This tells me that something may be wrong with your installation of macOS.
If that were the case then there would be no need for a client-side setting at all. But, as we're aware, one exists.. and I believe it exists to move junk mail back to the inbox once it's on the client machine.
I'm just telling what I have observed. I have it set to put Junk in the inbox, but if an iCloud message comes through that was marked as junk on the server side for me, it stays in the Junk folder.
Thank you for your observations, @Weaselboy.
