Hi.
I have this issue also (ESET Internet Security 15.2.11.0) using Exchange connection to Office365 in Outlook client. Office and Windows are with all available updates.
When I select a spam email that is in the inbox and mark it as spam (from the ESET menu), then it successfully moves it to spam. Then, however, a few moments later it reappears in the inbox folder again!
I hope you figure this out because this is very annoying.
Thanks.
Leifur.