Are you seeing any entries in the delivery log for the spam checks ?
You should see some line entries for the delivery session that look similar to below
[2014.11.04] 00:05:36  Delivery started for EDITED@dak******.info at 12:05:36 AM
[2014.11.04] 00:05:39  Spam check results: [_REVERSEDNSLOOKUP: Failed], [_SPF: Failed], [_DK: None], [_DKIM: Pass]
Also, how do you have your internal gateway configured for Spam Checks (edit the Incoming Gateway and select the Spam Tab) ?
Header information would only be added if the Spam action was set to 'Pass Score to SmarterMail' or 'Add Header' for Not\Low\Med\High spam.
Technical Support Supervisor