Toby,
Sure, see below. I actually no longer include it in the welcome letter, but I have a set of wiki pages that I call "tips" and which I rotate in and out of the sticky wiki. The one on the spam fiasco is below. When I find it necessary to post this info directly to the group in a message, I usually add something facetious regarding the lack of technical details ("don't even ask" or something like that;). Here's the wiki tip page:
TIP: Marking a Message "Spam" Might Automatically Remove You From the Group. If you mark a message from this group (or any groups.io group) as spam, either intentionally or accidentally via your email's spam filter, the system may automatically remove you from the group. Check your spam folder regularly, and never delete a groups.io message directly from your spam folder (move it to your inbox first). If you are removed, check your inbox for a resubscribe link.
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J