No you don't, it's not anyones fault but your own if you do not report the spam messages. Not only that, you have the option in your control panel to only allow messages from registered users. If you dont want people to abuse it, then don't allow guests to send you messages, simple.
but what if registered users spam you =P
You report it immediatly, the account will be suspended/deleted and user banned from the site .
ever heard of a proxy
Yeah, but again if you don't want dodgy messages from non registered users go to your contrl panel and disable them .