The real name of the folder has been "bulk mail" for as long as I can remember, but their webmail interface shows "spam" instead. I remember in particular this caused a problem when I was adding support for folders via Yahoo WebMail, because all the other folders were accessible by their name and it took me a while to realize that "spam" was actually named "bulk mail".
I just tested moving a message from my inbox to the "bulk mail" folder, using PP. Then I checked the "spam" folder via web interface and the message is there. I'm assuming that Yahoo auto-deletes messages in that folder, so maybe it got processed quickly. I thought maybe it was date-related, but I just tried moving a very old message (from 2018) into it, and it is also listed.
Try testing it again and when you move the message, be sure to watch PP's status bar to see if it's working. Be sure that PP isn't doing anything else so that it's easier to see.