Yes, the junk mail filter only works in cache mode.

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Diane Poremsky [MVP - Outlook]
Author, Teach Yourself Outlook 2003 in 24 Hours
Coauthor, OneNote 2003 for Windows (Visual QuickStart Guide)
Author, Google and Other Search Engines (Visual QuickStart Guide)
Outlook Tips: http://www.outlook-tips.net/
Outlook & Exchange Solutions Center: http://www.slipstick.com
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> Does Cached Exchange Mode have to be enabled for the Junk E-Mail Folder to
> work? We are running Exch 5.5 and Exch 2003 with Outlook 2003 client.