The administration of a hybrid deployment that connects on-premises Exchange Server with Exchange Online, enabling seamless integration and centralized control.
Is your mailbox hosted in Exchange Online or Exchange on-premises?
To me once the spam message went through EOP and was delivered to the on-premise mailbox, it is not possible for EOP to take further action on it.
You may need to delete the message on Exchange on-premises side.
Below is a documentation which introduces a solution by creating a mail flow rule to move the spam message from inbox to junk folder:
Configure EOP to deliver spam to Junk Email folders in hybrid environments
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