Why the messages from added email addresses are just marked as Spam or moved to the spam folder by SpamAssassin, but not blocked?
This is the expected behavior.
SpamAssassin's mechanism based on Scores. Adding an address to the individual blacklist gives it a score of 100 which makes detect and process this message as spam. What to do with such messages is defined on the top of the same page under the option "What to do with messages classified as spam" at Domains > example.com > Email Addresses > email@example.com > Spam Filter tab.
In order to not receive messages added to the blacklist select the option Delete all spam messages:
Refer to the Plesk documentation for more details regarding SpamAssassin work.