All my accounts are IMAP. No Google accounts. One Yahoo account and thee mail.com accounts. They all have junk folders. And now that I looked more closely, all the accounts have inactive Bulk folders in white. The Bulk folder under "On my Mac" is normal color but nothing in it. I didn't notice it earlier because usually it's my Yahoo account that has a lot of spam in the bulk folder. So, none of the Bulk folders are working it seems.
Try this,
- In Mail > Preferences > Junk Mail
- Be sure junk mail filtering is checked
- Under When junk mail arrives: if the Perform custom actions radio button is selected…
- click on the Advanced button
- Under Perform the following actions one of the listed actions should be Move Message to mailbox Junk
- Verify that Junk mailbox is under the list of accounts and NOT On my mac
- Trust junk mail headers in messages and Filter junk mail before applying my rules should both be checked.
- In Mail > Preferences > Rules
- check any and all rules for a rule a selection criteria of Message is junk Mail and if there is one it should be first in the list of rules and verify it matches I.1.b and I.1.c. In some older versions of Mail the advanced Junk mail rules were listed as just one of the rules. In the more recent versions of Mail that rule does not appear along with the user specified rules.
NOTE: I am using Mail 9.3 in OS X 10.11.4 beta 4 as my reference, but those settings are also present in earlier versions of Mail and OS X, but perhaps in lightly different locations so you may have to look around to find them, but they are there — somewhere.
As for Yahoo they are putting the junk in the junk folder before it gets to you not after as is the case with your mail.com accounts.
I have no explanation for why something might have changed on your system, but it does happen — to me it seemed to happen in more often older versions of OS X than it does in El Capitan, but that is strictly anecdotal and I cannot substantiate it.
