Without a spam plugin, anti-spam features presented in Evolution's UI (in particular in the toolbar) have no effect. This is sad, since spam handling is a major feature of mail clients, and it's misleading to users.
To solve this, I think the Bogofilter plugin should be installed with Evolution. That's what Ubuntu does for a few years, and it works well. This package and it's additional dependencies (only gsl, AFAICT) use about 1.2MB (3.7MB installed size).
evolution-bogofilter is already a default package in the "Graphical Internet" group of comps.
Ah, great! That must be a recent change, since I had to install it manually on Fedora 15 (installed from beta Live CD).