I can't tell you whether or not it's effective, but very few mail servers refuse to accept mail because the recipient doesn't exist anymore. Folks felt that telling you that a user doesn't exist is telling you that a user does exist when you get one that's not rejected, and they continued to feel that that was a security issue (cf. SMTP VRFY command). Not to mention the multi-layered email solutions these days that prevent the initial receiving server from even knowing if it's a valid recipient in the first place, so that sort of after-the-fact rejection is common, probably more common than the SMTP server saying that the address is invalid.

I can tell you that many legitimate pieces of mailing list software can and do interpret these rejections to remove dead addresses from their lists. As to whether spammers and their software do the same thing, I couldn't say.