Como outros já disseram, a resposta curta é movê-lo para a pasta de spam manualmente, o que permite ao Google saber que é spam e filtrar futuros e-mails com mais eficiência.
Aqui estão os trechos relevantes do link na resposta da Axeva:
Unlike the other three special mailboxes, Mail doesn't store Junk
messages on the server by default, the assumption being that there's
no need to waste space on the server with messages you don't want in
the first place. But Gmail automatically applies a Spam label to all
suspected junk mail, which has the effect of keeping it out of your
inbox and putting it in a Spam mailbox when viewed from an IMAP
client. [...]
[...] My personal preference, is to go ahead and let
Mail treat Gmail's Spam label/mailbox as the Junk mailbox for that
account. This has no effect on the number of spam messages downloaded
to your computer. What it does change is putting all the junk mail in
one place and eliminating an extra mailbox - so I like it for the sake
of tidiness. In addition, it means that whenever Mail marks a message
as spam by moving it to the Junk mailbox, it also tells Gmail that the
message is spam, helping to improve Gmail's spam filtering for all
users at the same time Gmail helps to improve Mail's junk mail
filtering by teaching it which messages it thinks are spam.
To set up the Junk mailbox in the way I prefer, first choose Mail >
Preferences, click Junk Mail, and make sure the Enable Junk Mail
Filtering box is checked. Under "When junk mail arrives," if the top
radio button (Mark As Junk Mail, but Leave It in My Inbox) is
selected, instead select Move It to the Junk Mailbox and click Move.
Next, go back to the main Mail window, select Spam under [Gmail], and
choose Mailbox > Use This Mailbox For > Junk. The Spam mailbox then
disappears from under [Gmail] and reappears as a sub-mailbox under the
main Junk item. Now, whether Gmail flags a message as spam, or Mail's
Junk Mail filter does, or you manually mark a message as spam in
either place, it'll show up in the same mailbox - the one Mail calls
Junk, and Gmail's Web site calls Spam. [...]
link