AFIK the bulk mail classification is unique to Yahoo and that sorting takes place on their server before Mail sees it. Since you are using IMAP you do see everything in the other folders/mailboxes but they do not cycle through your inbox. Mail's rules fire when a message hits the inbox but it happens so fast you do not see the message in the inbox.
I am on my iPad at the moment, so I am unsure of the exact location of the menu item, but I believe in either the accounts or mailbox menus there is an item to synch all accounts or a single account. If you synch your Yahoo account both the junk and bulk mailboxes should appear in Mail and anything you see logged onto the Yahoo webmail interface should appear on your Mac. Normally you only need to do that once.
