I've tested it with EMSL 7.1.14007 and it works for me (tested with X_SF_SPAM, X_SF_SPAM: Y).
Message header rule is valid only on transport level (external message is processed by smtp task in rfc format).
Check if the message is external and processed by smtp task.
For further analysis we need ELC logs and message sample.
For dump incoming messages you can use notes.ini setting SMTPSaveImportErrors=2.
- it is necessary to restart smtp task
- in domino console is path where file is stored
- turn this feature off for security, disk space reasons