One user is having this issue (we use a hosted Exchange 2010). It crept up suddenly a few days ago.
All messages from our domain to the user go in a folder named JUNK. Notice this is a new folder, and not the same as junk folder which is there by default.
It seems to occur in Exchange as I have turned off Outlook on this computer and use the web access to see the message arrived in the inbox, stay there at least a full minute, then suddenly move to the other folder.
I've made sure there are no rules in Outlook. I've selected "Do not filter junk e-mail" in the web access (even though our domain is in the safe senders list).
Any advice is welcome!