Thunderbird & mail filters do not work
Probably my shortest tutorial ever, but hey. The issue is one of expectations rather than bad functionality. However, this is not easy to understand and figure out, because Thunderbird doesn't give any indication there's anything wrong. And technically, there isn't. However, you should be aware that your mail might not be fully synced, and that you could see unexpected behavior as a result, at least when it comes to message filters.
One could say that there's no reason to download spam email, but that's true assuming the classification is always 100% correct. There still might be false positives, and you still might want to do some sort of processing for the incoming mail, even if it lands into the Junk folder. To do that, you want the filters to work, and with this guide, you now have the right solution. The next step is to make sure your filters actually do what they're supposed to do, but that's a different problem altogether. See you around.