This, I course, is thanks to Facebook Messages's handsomely capable spam filter. When you do come across the occasional junk mail or message, you can help improve that filter and remove the offending message from your inbox in one go.
Mark as Spam in Facebook Messages
To report an email or direct message as spam for the Facebook Messages junk mail filter:
- Open the message or conversation in Facebook Messages.
- Click Actions.
- Select Report as Spam… from the menu that comes up.
- Click Report as Spam.
(Updated February 2012)