Check your Account Settings > Junk Settings. If this is an IMAP account, it could be that Thunderbird is trying to use the wrong folder for this. You may tell it to use a folder that may already be available on the server for junk/spam by selecting Other, then choosing the right folder there.

If your account is IMAP on the PC, you can subscribe to the Spam/Junk/Bulk folder that is controlled by the mail provider (and probably the same folder you see on the phone) by right-clicking the account in the Folder Pane, Subscribe..., and subscribing the desired folders. If you find the provider's junk filters adequate, there's no need to activate TB's junk controls, which some users find inferior and confusing.