Mail app correctly marks spam but does not move it to the junk mail folder as by message, Mail app does not bother moving mail correctly marked as spam in the spam folder -- this only happen when I am at home, and only during the week-end.  I suspect that the IMAP server is to be blamed.  I could try to delete the account and recreate it, but since it's my work email, and the server is showing some problems, I am quite lukewarm about this solution (Mail app problem in Lion).  Is there another less drastic way of solving the problem?

I'm on OS 10.8.3 all latest whistles and bells.
You need open the preferences window (command + ,)
Click on Junk Mail pane
Select: "Move it to the Junk mailbox (Automatic)"