You have configured Message Journal in your Exchange server, but noticed that the journal account e-mail copies do not have the typical X-headers (particularly the anti-spam filter headers) that indicate SMEX is scanning.
Message Journaling is basically keeping a duplicate of the received e-mail for record-keeping. The duplicate copy is usually stored in another mailbox account on another mailbox store that can be in the same or a different server.
SMEX performs scanning on both the SMTP and store levels. However, anti-spam filter only scans mails at the SMTP level. Therefore, archived mails, which are in the mailbox store, will not have the usual X-headers we get from SMEX. Archive mails are still being scanned by Microsoft VSAPI, though.
For spam prevention, the action for content scanning is set to "tag and deliver". The tag set at the SMTP level will also be available in message journaling.