It "sounds" like you might have Cox Communications as your Internet and email provider because that is exactly what happens to email sent to my Cox address they suspect is spam.
And, at least with my experience and Cox's spam filter, that is a good thing!
If not Cox, then a provider that deals with spam in a similar way.
What used to happen years ago when Cox first introduced their spam filter, they would automatically move suspected spam into a spam folder that MailWasher could not reach. Neither could Thunderbird, Outlook, or whatever your PC email handler was.
This meant just to check your spam folder, you had to separately log into your Cox webmail account and check the spam folder. If you had multiple Cox email accounts (I think we are allowed 10 per Internet account), you had to log into each email webmail account separately.
Log in, check the folder, log out. Move to the next email address, log in, check the folder, log out. Move to the next email address... and so on. That was a real PITA - especially because their filter was lousy and had many false positives!

That is, they incorrectly tagged many legitimate emails as suspicious (spam) and moved them into spam folders without any notification to us. Not cool! This meant we had no choice but to check each spam folder regularly.
After many Cox customer complaints, they changed how the filter works and added the option to keep the suspected spam in the Cox inbox (where MailWasher, Tbird and Outlook could see it), but then would just append ***SPAM*** to the subject to get our attention. So even if a legitimate email was tagged as spam, it would still get to where MW and we could see it. A good thing.
It looks like that is what is happening to you here.