They don't appear in the Trash folder either!
I started using "Rules" a few years ago and found it to be a great tool for eliminating junk before it ever hit my drive. I selected Trash and that seems to send the mail somewhere into the ether, which is fine with me.
I now get very little junk mail and, when I do, I dispatch it in the same way. The only junk I deal with differently is "Phishing" that gives the appearance of being a legitimate company like Apple or a bank, et cetera.
With those I just expand the headers to "long" and forward them to the Spam department of whichever company is being misrepresented, as well as to my ISP.
There may be a down-side to this efficient filter.....
You want to make sure to write your rules carefully and make sure that they refer to things very specific to the offender but not to someone else. For example, if you get....
Mail from Sarah Offender that you want to ace.
andMail from Sarah Friend that you want to receive.
....you would be well advised not to use "Sarah" in your rule or you may find you're no longer getting mail from your friend.