If I may answer my own question... you have to log in to your PN account (not WebMail) and go to 'Manage My Mail'. So the lesson here is that to do anything which is described in the Spam Protection Guide (see link in above post) you have to log in to your PN account and go to Manage My Mail. If you read the first item on that web page (Where do I change my Email's spam settings) then it tells you this, but if - like me - you just scroll down the page looking for the the solution to your problem then it's pot luck as to whether the topic you read will tell you to log in to your PN account and go to Manage My Mail. Some do, some don't.
