Although I don't use the product I was just reading the help files in my SecurityCenter for pointers. As far as I know it should move the item to the Spam folder from where yolu can delete it.
You can fine tune the filters in Advanced settings according to Help (Open SecurityCenter then click Help at right..Takes a while to open.
Technical Support might be of greater help until someone with knowledge spots this.
It's free to phone them or use their online chat and linked under Useful Links at the top of this page.
There are some issues with Thunderbird I believe but support knows about them better than we do. All I can suggest is ask them to escalate the issue to a higher level of support.
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