Why does Apple Mail automatically dodwnload all my mail from 3 different accounts and place them into the Spam folder under the "On My Mac"

Thank you for the response. I am attaching a screenshot of the Apple Mail folders. The ones under "On My Mac" were created by Apple Mail, when I started using this computer at work.

The Spam folder under "On My Computer" has 2 messages that also reside in my Proton Mail "all mail' folder in the cloud.

This also occurs with the Google account. Mail is apparently retrieving all mail from all my accounts and puts it into that Spam folder. Causing me to go through that folder and sort or delete mail, which still resides on the cloud servers at the 2 other accounts. Which also must be sorted and/or deleted there in the cloud server's folders.

On my personal MB Pro, I use a third party mail app that only retrieves and places on my MP Pro the messages that I want saved locally. While leaving everything else in the Inbox or Spam folder on the Server's cloud.

My question is basically, how do I get Apple mail to not retreive every message and stop placing everything in the Spam folder?