GordonM:Thanks DLN. Well, I have done nothing more so far, except turn off the forwarding from my ISP, which is obviously not helpful to do any sort of test.
I don't have a server that I want to sacrifice, so I won't pursue that avenue.
Unfortunately, I have been able to find a thorough "official" description of what SpamCop does with regard to header information.
Spamcop does nothing with headers, as it does not see any.
All that happens is that Mercury does a DNS lookup for <reverse.connecting.ip.address>.bl.spamcop.net
If it is on their list(s) you get a "127.0.0.x" response, where x is a number matching which list the ip is on.
If it is not listed you get an "<NXDOMAIN>-IPv4" or whatever your DNS server uses for "not found"
If matched, your selected action is applied to the message.
I couldn't seem to find anything on the SpamCop web-site.
Mercury S has now been running for the best part of a day and nothing is appearing in the MercuryS log other than mail that I sent directly to the server and the forwarded mail from my ISP.
GordonM
Is this your primary means of receiving mail?
Have you set your MX records correctly?
A bot should be along presently 
You can do a lookup on an IP manually at a command prompt
nslookup reverse.suspect.ip.address.bl.spamcop.net