How can prevent certain senders from going to Junk Mail without creating contact?
Yes — by selecting "Perform custom actions" and then clicking "Advanced," you can configure Mail's internal rule that determines both what is considered junk mail and what Mail should do with it. Add a condition to this rule that reads "From does not contain @example.com", and no such mail will be considered junk.

As far as I know, this is the only mail rule that can determine whether something is marked as junk or not. Ordinary rules can only move messages into or out of the Junk folder.