Right click on the account name. The folder above the Inbox folder in bold. Click ‘Subscribe…’. Make sure the right account is selected at the top then hit ‘Refresh’ on the right side. Now you see a list of all the folders exist at the server and only when a tick is in front of it it will be shown locally. If a folder is unchecked select it and choose subscribe. Maybe the message is in a folder Thunderbird wasn’t subscribed to.
Sometimes Thunderbird has a separate Junk folder besides the server one.
Sure, as long as Microsoft doesn’t give its own products more access to the kernel than competitors.