Managed to get it to work now, see http://forum.parallels.com/showthread.php?296122-Spam-filter-set-to-quot-Move-spam-to-the-Spam-folder-quot-but-spam-is-marked-instead&p=713904#post713904
System:
I have a problem with one mail account. In the spam filter settings, Plesk offers three options:
Mark spam messages by adding the following text to message subject
Delete all spam messages
Move spam to the Spam folder
The last one is enabled. Nevertheless, spam...