iCloud.com’s Mail app hides a feature that can also trip you up. You can set rules at iCloud.com that affect incoming and filed messages on Apple’s servers before they reach the Mail app on your devices. These rules are separate from the Mac version of Mail and take precedence over any local filtering or sorting set on any mail software you use on an iPhone, iPad, or Mac.
The effect of this can be that messages wind up in places you didn’t expect without any action on your part. You can check for rules at iCloud.com by following these steps
Read more at Macworld.com