So this should be possible. However, it may be a little more difficult.
When you set Brightmail to "Send message to spam folder", all this really does is add "X-bmiFolder: 1" to the header of the message.
This is a little different when we are installed on the Exchange server, because we can leverage native SCL values in that case. This is why you are seeing the bahavior that you are.
What you could do is create a client side rule to look for "X-bmiFolder: 1" and send these messages to the local Junk E-mail folder. This could be pushed out to your users via a GPO or something along those lines, depending on how many users you have.
Please let me know if I need to clarify anything or if there is anything else I can help with.
Thanks!
Tom