This is usually an IMAP thing where your mail provider is doing the overriding, not Thunderbird. Yahoo in particular have a nasty way of ignoring user input into such things and just decreeing what they say is spam is spam and changing the junk setting when next the "scan". This was mostly prevented in recent releases however. So you will need to be specific about account type and mail provider for anything more direct as to an answer.

My mail server is an IMAP Mail Server (mail.twc.com).

I created a simple test rule that sets junk status to "junk" if the "to" field doesn't have a certain phrase. When I manually run the rule I can see the junk status momentarily change to "junk" before it then reverts back to "not junk".