Which way did you enable email filtering?
There are 2 different ways.
- Via the control panel (if you have control panel access) under (MAIL > MESSAGE FILTERS).
- By changing the options using your mailboxes account (http://mailboxes.YOURDOMAIN.COM/ or https://mailboxes.YOURDOMAIN.COM for some security for your credentials). NOTE: Substitute "YOURDOMAIN.COM" with your actual domain name or you will go to the wrong site! Use your e-mail address and password to log in. If you don't have control panel access then this is the way to go.
Was the folder set up before you enabled the filter? If not, this might be the problem.
If the issue continues, I recommend removing the filter and then reapplying it and see if this fixes the issue.
Let me know if there is anything else!