I take it back – a new comment can’t be marked as spam or trashed.
I deactivated all plugins, cleared cookies and browser cache, activated the WP default theme. Logged in to the dashboard again, tried to get rid of the comment; it seems to go away then pops right back again.
It turns out the comment was in the system before the upgrade which was from a very old version. That might have been the problem and why you can’t reproduce it. As I could neither mark it as spam nor trash it, I went into the database and deleted it.
Thanks for your help!
I deactivated the only 2 plugins – WordFence Security and WordFence Database Backup – and it made no difference.
Thanks for the suggestion but I think it could be a bug in 3.9.