The advice I got was to never click any links in spam email. I think the rationale was three part:
1) Clicking "unsubscribe" confirmed that you received the spam mail, so spammers would activate your email address on their other lists, thereby increasing the amount of spam you received. Otoh, acting like /dev/null increased the chance that spammers culled your address to increase their apparent delivery ratio.
2) Following those links gives the spammer access to your web browser, along with tracking cookies, and chances to exploit any plugin vulnerabilities.
3) Your chances of getting phished are way higher if you follow mail that looks like it's from ICQ than if you just go directly to icq.com and find their unsubscribe settings. (I didn't say I got that advice recently....)