One thing that would be worth trying is to create a new email to reply to the energy supplier rather than using the "Reply" option. It could be something in their email which is tripping VM's outgoing spam filter. Bizarrely, VM's outgoing spam filter seems more restrictive than their filter on incoming emails.
As long as you quote the supplier's references in your reply they should be able to track it back.
If that does not work and there is some urgency about replying to them, you may need to use a non VM email account.
Creating a new email worked OK but it's a bit bizarre that Virgin have stricter filters on outgoing mail than they have on incoming mail (none of the emails from my energy supplier have ever been marked as spam).
Hoping that someone from support might be able to explain this and also arrange for the filters to be updated to stop this from happening in the first place.