I've since stopped doing it since the last thing I want to do is open up some random page belonging to the person who spammed me.
Did try again yesterday with a different spam message and had it open a tab though; Zapier was spamming me with some newsletter so I clicked "Report Spam and Unsubcribe" yesterday and it opened up this in a new tab: https://zapier.com/app/settings/email?payload=REMOVED
Not really sure how it determines that -- I'll probably avoid clicking it just out of precaution and just report spam going forward though.
In some cases, Gmail automatically detects the unsubscribe link. If you click Gmail's unsubscribe link, it may give you a pop-up or it may automatically write an email to unsubscribe@example.com. The pop-up usually leads to a form that you have to fill to 'update your newsletter preferences'.
Most of those bad actors seem to have been weeded out, but some still might try it.