Those files are created after they're used. If the user_prefs exists in that folder, and you can confirm that the emails are being scanned by spamd (will have header info and logs in /var/log/maillog for spamd), then it's possible that bayes is turned off by default. Not too sure..
You can add things like:
use_bayes 1
bayes_auto_learn 1
in your user_prefs file to make sure it's on.
Bayesian filtering is only one of many modules spamd uses, so it's not absolutely required (but works pretty well, so good to have contributing to the filtering)
John