"Block Sender" won't notify the originator of the mail of anything. All it does is the next time they send anthing to you it will be diverted straight into your Deleted Items folder rather than your Inbox.
However, it should appear in your Blocked Senders List. If you still have the mail, highlight it and select Block Sender again and see if it appears.
There are third party progs which prevent items being downloaded from your server. The name of these escape me for the moment, but I'm sure that another forum user will remember them.
You're absolutely right. Never..but never...click Unsubscribe