Other agents may also be classifying your messages. By default this folder is named Junk and it should be visible in the Folder Pane at the left in Thunderbird's main window. When you manually mark messages as Junk, they will be added to the training data, have an icon added and moved, according to your settings, to the preferred folder.
Thunderbird marks messages as Junk, and they usually appear with an orange flame icon (though this may appear differently to you, depending on your operating system and theme.) Thunderbird does not 'block' messages.
