Hi
Welcome to the forums.
The only modification that needs to be made in Zimbra for spam is the kill/tag percentages.
Ok, your specific questions:
1. Yes
2. Yes
3. They should end up in the Junk folder until DSPAM has been trained.
4. You don't need to do anything manually to train SA, there's a cron job that runs daily that runs zmtrainsa (you can also run that manually to train for spam/ham.
5. I'm not quite sure what you want in these circumstances. Anything in the Inbox is treated as Ham, if it's not you should only have the option of calling it Spam.
6. /var/log/zimbra.log will show messages that have been detected as spam.
There are additional Bayes rules that you could add into SA, there also a 'rules_du_jour' tutorial that will update your rules daily - that will add to the effectiveness of SA. The only problem you have to be aware of is that running lots of additional Bayes tests will add to the mail processing overhead. In a busy system that could be prohibitive.
The headers you've posted do appear to be from a Spam mail but, as I mentioned at the beginning, you probably need to adjust your kill/tag percentages. The numbers need to be moved 'down' to catch/mark more spam. I've said before that catching spam is a juggling act between getting as much spam as you can (you'll never get it all) and getting no false positives - you don't want important mail deleted as spam. I have my kill/tag set at 66/26 respectively and I see about 1 spam in my inbox and a couple in the junk folder per month.
Marking your example mail as junk when it's in your inbox will get that message trained as spam for future rejection and it should be moved automatically be moved into the junk folder in fuuture, depending on any changes you've made to kill/tag percentages.