To allow it to work, I guess some additional firewall rules may be needed - it's better to set loopback (connect to local applications) on a per-program basis, than allow anything to loopback, as that may allow other programs a free pass to something that can connect out.
SPAMPAL is my choice... some say it's not ideal, because it downloads and junks (not sure if you can action a "delete from server" in your mail program, if you are not using body rules).
If your server is IMAP, rather than POP3, then the preferred way to handle it IS to allow Spampal to delete, since tagging as spam is slow in that environment.
www.spampal.org