We previously discovered a section of Google's support help site which went live prematurely and details in the abstract how the new spam protection feature works from a privacy perspective. Google is likely one of the top guardians against spam out there, but even Gmail is prone to filtering out legitimate messages (which is why you should make it a habit to check your spam folder periodically).
With no official announcement coming from Google just yet about this, it would appear that the feature is still being tested and not making a global rollout quite yet.
Spam messages are a problem in some regions like India, and Google's Stock SMS app provides an easy and free way to deal with that.
The spam protection is enabled with Messages v3.9, but requires a server-side update before it is fully functional. It allows users to understand the new feature, and to manage its settings. If you do, you can access it in Messages by tapping Settings Advanced Spam protection where you will find a simple enable/disable toggle. If you forward a spam report manually to Google it still submits the phone numbers of both the sender and the recipient including the message body. It's actually nearly too easy to send an SMS, because you don't need to know the person who owns the line - you simply need to know the number exists. When enabled, some information about the received message will be sent to Google. If you send a report, it includes the spammers last 10 texts, but none of your replies.
If you're all about privacy, you'll want to turn this feature off.