I don't use Windows Live Mail but out of curiosity I googled "Live Mail Spam folder vanished" and it seems to have happened to a gagillion people. And not just the spam folder, the inbox too.
Most of the answers on the first page google returned were snarky comments but this one seemed helpful.
https://appuals.com/recover-missing-or-lost-folders-in-windows-live-mail/
I have no idea if it will work, something about compact folders and a green plus icon, since I don't use the program I'm not sure what the directions are doing.
There were also comments in some of the other pages about using IMAP protocol rather than POP protocol. If you aren't using IMAP you might want to check that out (IMAP leaves the mail on the server and you are essentially browsing it from the server, POP downloads it to your PC and you're viewing a local copy).
Good luck. Microsoft is always an adventure.
Eric