Why does Thunderbird mark spam email as spam, but not send it to a spam or trash folder?

It doesn't do that because you haven't told it to!

The global settings that controls this can be found at

<Settings | Privacy & Security | Junk>

And the per-account settings are at:

<Account Settings | (the account in question) | Junk Settings | Destination and Retention>

Where are the settings in my Thunderbird browser? I use a desktop computer with Windows 11.

I assume you mean Thunderbird Mail (Mozilla's browser is Firefox.)

In Windows, Settings and Account Settings are found in the Tools menu. If the menu is hidden, press <Alt> or <F10> to temporarily reveal it. They can also be found in the 3-bar "hamburger" menu icon to the right of the Global Search bar.

Nevermind, found it, thank you.