There could be a number of reasons for this.
It's normal for some spam to slip through in the beginning. We use a learning algorithm and it takes about 2-3 weeks on average to get the maximum accuracy rate. To mark messages as spam, log in to the control panel, go to the Archive tab, select the messages that are getting through and click "Mark as Spam". This will speed up the learning process.
If you receive a spam message but you can't find the message on the Archive tab, then you may not have all your users setup on the Users tab. Mail is only filtered for email addresses that are listed on the Users tab. If the message was sent to an address that is not on the Users tab, it will be passed through unfiltered and the message will not be archived to the Archive tab.
Another thing that may be happening is spammers may still be sending mail to your old MX records. Once they find a way to get through, they latch onto it and keep sending spam even though you've changed your MX records to point somewhere else. The best way to counteract this is to configure your mail server or firewall to only accept connections from our range of IP addresses. This prevents spammers from connecting directly to your mail server and bypassing MX Guardian.
You can find our list of allowed IP addresses on this page:
In order to do this you need to have access to your mail server configuration, or the network firewall that protects your mail server. Unfortunately, if you are on a shared server (such as HostGator, GoDaddy, Office 365, etc...) you will not be able to do this.