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This is a known issue. Trackbacks are not passed trough spam module when added, so it cannot be marked as spam.

not complete true, jeremy wrote a patch. see http://drupal.org/node/15510 and http://drupal.org/node/16690

I believe my patch only works with 4.5. I have not updated it for 4.6. It's not a trivial port, as the trackback went through some major changes. (ie, it's using its own tables to store trackbacks, rather than sharing the comments table) This is on my todo list, but it's probably going to be quite a while until I get to it. -Jeremy