That's not a problem. It can be a problem if there are blank spaces in file names, but you can circumvent it by
Code:
grep -lZ "X-Spam-Status: Yes" /etc/mail/archive/*/* | xargs -0 echo rm
the -l option to grep prints only file names with matches. The -Z option separates file names with a NULL character and the -0 option to xargs takes input with fields separated by NULL. In the statement above I put an "echo rm" command to test the result. When you've checked you can strip out the echo command and the files will be actually removed.