Here's the fix:
- On the phone, open the E-Mail app
- Hit the Menu Key > Settings > General Settings
- Select Spam Addresses and look for any errant email addresses, especially *@yourdomain.com entries, which would filter any messages from your domain.
- Remove those addresses
Now the user can move the messages out of the Unwanted Folder and delete that folder, and email will stop being filtered improperly.
NOTE: If your device is connected to a corporate Exchange/Office 365 account, I would disable the SPAM filter on the phone completely, and let Exchange handle the spam filtering; since it seems that the built-in feature is more of a nuisance than helpful.