spam incorrectly getting bounced

[http://dummy.us.eu.org/robert (Robert)]

Spam is being bounced (see below), despite my setting "Deliver messages
identified as spam by SpamAssassin to my inbox" in my "Spam
Filtering->General Configuration" screen.

Is there any way I could get such emails delivered to my mailbox?  In
fact, I'd like all emails delivered to my inbox, regardless of their spam
status.

(I would prefer to keep using Sonic's spamassassin, but would be willing
to run my own if I cannot have both spamassassin mail header reports and
receiving all emails.)

Thanks.

--------------------------------------

  http://dummy.us.eu.org/robert
    (generated from *********************************)
    SMTP error from remote mail server after RCPT TO:<http://dummy.us.eu.org/robert>:
    host mailin-01.mx.sonic.net [69.12.208.73]: 550 5.7.1
 <http://dummy.us.eu.org/robert>... 
    Recipient declines email from 66.11.225.137, <spamhaus-xbl>, Ref:
    http://www.spamhaus.org/query/bl?ip=66.11.225.137