You definitely DO NOT need to delete your spam. In fact, the first version of the Spam page didn't have a delete option, because we didn't think people would want to review it that closely! Deleting is there as an option for people who like to review their spam frequently, and wish to remove the messages they've already gone over. Held messages will automatically be removed after 30 days, so you don't need to take any action unless you want to release any messages accidentally caught.
Some ways that Pobox staffers review their spam:
All of us send our mail out through Pobox, which automatically adds our correspondents as Trusted Senders. Trusted Senders help make sure that real people we correspond with always get through, which makes reviewing spam much less necessary.