There may be a problem with exchange server setups where when accessed through Apple's Mail program in Snow Leopard the junk mail folder disappears on the Mac. While other folders will synchronize upon creating a new account, the junk mail folder does not show on the Mac.
This problem has affected a number of users, who seem to be using older exchange servers (2000 and 2003) that they are accessing through POP or IMAP, and not using the 10.6-supported Exchange 2007 protocols. Additionally, this problem seems to have cropped up when people have upgraded to Snow Leopard, since the junk mail folders appeared and worked flawlessly in Mail under 10.5 Leopard.
The workaround for this problem it to change how Mail manages junk mail, and optionally turning off the Exchange server's junk mail filtering for your account:
Enable junk Mail options in Mail
In Mail's "General" preferences, check "junk" under "when searching all mailboxes...", and then go to the "Junk Mail" section of the preferences, check "enable junk mail filtering", and choose the option to "move it to the junk mailbox."
In addition to changing the junk mail settings in Mail, if you have access to the exchange Outlook Web Access service, go to the options and in the Junk mail section choose "do not filter junk email" and save.
Both of these options change the handling of junk mail from Exchange to Mail, which should allow you to manage junk mail again.