First of all, starting our own blacklist is an interesting idea. We'll have to toss that around the office here. We'll also take a look at Mailwasher and see if there's any integration possibilities. No guarantees, but we'll certainly look into it.
As for "mark as spam" doing something, it does. Realize that Mark as Spam is a Bayesian tool. That means that there is a learning process needed before any "automatic" action is taken on a message. As there is that learning period, it's not uncommon that a similar message to one recently marked would come into your inbox. You have the ability to manage how many messages are necessary for the filter to update by editing the Bayesian Filtering spam check. I think it defaults to a pretty high number, but lowering that to 200 or so wouldn't hurt...but you can set that to whatever you want.
That said, we're also exploring the potential to tie Mark as Spam back to Cyren and/or MessageSniffer so that we DO actually report messages to a "RBL".