I think that the firewall is predominantly one way. Restricting access to external information rather than prevention of hackers going out.
But, I agree. I'd also like to see them stop. I now use a geo-IP filter and whitelist the few countries that actually don't appear to spam that much. Needless to say, China is not on that list.
Out of interest Brazil, Ukraine and Russia are also banned for this reason. Does anyone else have loads of comment spam originating from Brazil?