Right click on account in main page, select 'settings' then click 'server settings' and you will see the option to set destination folder for trash.

Thanks David. There are plenty of suggestions that is the solution. As I pointed out in my query, there is no provision in Server Settings of my version 102.6.1 of the option "When I delete a message, move it to this folder" so I can't select any folder. Is it possible I've inadvertently selected some other option which has caused that option to disappear, like "delete" or "move"?

Considered switching to the beta stream? I'm using 109.0b2 and that option is definitely there for my IMAP server.

It's definitely not there in my version but I'm using POP3. Looks like my problem will be solved as soon as I follow Mozilla Support "Switch from POP to IMAP account". Thanks.

This appear to have all sorts of issues. There is a set folder for IMAP accounts, something that does not exist for POP accounts as they always go to the account folder with the trash icon. As there is no server side trash folder to synchronize in POP such a setting serves no purpose.

The first and most obvious question is does the account have a folder marked with a trashcan for trash to go into? (not the name, the icon is the important thing)