The web mail filtering system only works for e-mails that arrive in your inbox. If the VM filters are working properly (as they seem to be in your case) the spam will end up in your spam folder. You'll have to delete it manually from there.
Superuser 2017/18 Use Kudos to say thanks Mark answer as "helpful" only when the problem is solved Please don't send me private messages unless I ask you to. I do not work for VM. The advice I give is based on my best understanding of VM policy and practice. You rely on it at your own risk.