Mail is not being moved to the users spam folder even though the policy is set to move to spam folder.
Policy Spam Action
First double check that the policy spam action is set to move. Remember that spam policies are hierarchical meaning that any child policy at the mailbox or domain level can override the default server level. See here for more information.
Plesk Email Security
Plesk Email Security can sometimes leave old sieve filters which can interfere with Warden's own sieve filters. The sieve filters that Warden uses are always named .warden.sieve. You can check for old sieve filters using the command:
find /var/qmail/mailnames -name ".dovecot.sieve"
Then you can view the contents of each sieve filter to see if they are from Plesk Email Security and delete them.