As I indicted above, I've reached the point of simply ignoring the trash, so I haven't made any thorough investigation of what the spammers can do, even for my own software. Obviously, I can't give any definitive answers about other programs or their settings.
Your ISP does have to send the email message to you, or you wouldn't see it. Your ISP also needs some way to know which ones he's sent, and which ones are waiting for you. This information obviously goes into the header, since you can look at how the item was routed.
Most email programs allow you to request a notice of delivery, and in most you can request a notice when the item is read. Usually, if read-confirm is requested, you will be asked if you want to confirm, and you can say no to prevent the notice from being sent back. It's a little less certain whether you'll even be notified of a delivery-confirm, since that happens before you take any action with the message. I'm sure there is software to reject anything that asks for a confirmation, but that could reject "good" mail too.
My own conclusion is that there's nothing useful you can do with any information you might get from these headers, it takes time and effort to look at them, and junk mail deserves no effort on my part except to trash it.
I did make a few complaints to my ISP when I first opened the email account, and continued to get increasing amounts of junk. When I started just deleting without attempting to examine it, the volume gradually began to decrease. I wouldn't say it's at a satisfactory level now, but it is less than about 10% of what I was getting for a couple of months after I quit trying to figure out who was sending it.
There are many resources where you can look up how the spammers operate, and you can spend a lot of time and effort trying to figure out ways to "combat" it. Lots of effort, for marginal return. The cost/benefit isn't there. Delete and don't worry about it.
Viruses are another thing. You must use a current AV if you're getting email - even without the spam. But most AV programs cannot scan a file until it has been written to disk. (that means "delivered.")
It's a bug/vermin/pest. Squash it. Don't try to psychoanalyse it.