Click the unsubscribe link once, and mark all future emails from them as spam and move on. They have no reason to act on your request, and this gives them one.
There is no law against marking unwanted emails as spam. That is, in fact, the entire point of spam filters.
They are saying that the law is a reason to honor unsubscribes. MichaelBurge said they have no reason to, presumably because he didn’t know the law around this.