If you have the setting to trust the headers from your ISP set it might be classifying the message as junk because of an X-header. Check the full headers of your message - do you see anything that starts with X-Spam? If so, you can either uncheck this option and accept the possibility of getting spam, or find out what spam threshold your mail provider uses to classify spam and whether there is a public address you can forward your mail to to fine tune its learning.
At any rate, if Mail is depending on these headers this is probably why you're experiencing what you're describing.