pippo - 8:58 am on Aug 28, 2013 (gmt 0)
This warning means
"Nice backlink profile for [blue widget]. Don't expect to rank for that term in the near future"
The advantage of filing a RR is that any good links using the spammed anchor text and accidentally discounted by Google along with your spam can be brought back into your ranking decision, I think. Also to make spammers run around a little.
I personally don't think there's any point filing a RR for an 'affects links' penalty, 404ing the page is much preferable. If you built to your homepage, well, good luck with that.