Each account needs to have "Enable adaptive junk mail detection" turned on. Go thru all you accounts by first changing the account on the settings tab then click on the Adaptive Filter tab and verify that "Enable adaptive junk mail detection" is checked. I remember reading that sometimes it will get turned off on the non primary account.

As for me when I click the junk button on the menu or press "j" on the keyboard when looking at junk mail it moves it to my Junk mail folder. Now to delete the junk mail, click on your junk mail folder -> Click Tools -> Delete Mail Marked as Junk in Folder and this moves all my mail into the Trash. Next time I restart it is all gone.