What is effect of marking a comment as spam?

It stays in the database marked as spam.
The idea behind that was that a plugin could use the stored spam as data to measure comments against. The way things worked out though, that wasn’t needed.

Would I do better to just delete?

I would – or you can use this:
Spam Nuker
https://chrisjdavis.org/category/wp-hacks/
to get what has alreday gone past too.

Are you using any form of spam prevention ?

no, been lucky so far, have not had much, I have just been deleting.

That’s for the tip on Spam Nuker, worked great!