Filtering out mailing lists on the server
To implement server side rules, your server must support it.  

There’s nothing in Apple Mail that can enable something on the server if the server doesn’t support that feature. 

I searched Cox’s Support site for “server side rules” and found nothing.  Additionally, I found this message


  Cox Email is a free service that was included with all Cox High Speed Internet packages. As of August 15, 2019, Cox Email is no longer available to new users.


This pretty much means that while the service isn’t discontinued yet, there’s no further development.  So, if you’d like server side rules, you will need to find another provider.  I personally like Outlook.com as you get the Exchange like server features along with a OneDrive account and free online versions Office.