you should have on FortiMail a message that alerts the receiver of SPAM such as this. The end users can decide to release it from quarantine by clicking on the link in the mail.
Is the FortiMail hosting the mails or just forwarding to a mail server?
I don't know FortiMail enough for it, but would think it might be possible for certain mails to be moved to certain folders, if the FortiMail is hosting the mail. If it is a gateway only, you can try tagging the mail with SPFFAIL for example in the mail header. On the mail server you can create another rule to move these mails (fitting a header SPFFAIL) to a certain folder.