I know everyone likes to be the one who 'outs' the spammers but when you post comments on something that is clearly an advert (and will eventually be removed) you keep making it appear in 'latest posts', thus pushing other (maybe) decent questions off.
We do prefer that the spammers get as little attention as possible in the vain hope that they will give up; which is why we very often delete posts that mention them as well.
There is some merit in the idea. I suppose it's the same argument as 'don't feed the trolls'. I'm guilty with regards to commenting on spam sometimes and certainly with playing along with some of the Law threads from the poster with dozens of identities, but I do also report the spam and it disappears quickly.
On the other hand most of the spam occurs in the early hours and the often amusing banter on spam threads often occurs at around 7am when threads on the latest posts list would hang around for 20 minutes so the impact is not great.