I had default antispam settings - yes.
The problem seems to be rules that move messages to a folder when the message arrives - ie the rule is triggered immediately. In my case I have ***SPAM*** tagged to spam messages on the server and the Outlook rule would check for the ***SPAM*** text in the subject and move the message to the junk folder.
I have discovered (I think) a workaround. Instead of having the rule move the message you can change this to copy instead of move and them add another line to the same rule to permanently delete the message. Doing things this way seems to work and the end result is the same.
Hope this helps others with the same problem.