I installed via your script, so I'm assuming that the RPM was downloaded in the process - the filter is active and is marking spam, just not performing the distributed checks and moving it afterwards.
I ran the last six commands you gave manually - the directories already existed so I didn't re-create them. I'll see if that worked, because lord knows I get enough spam that I'll have an answer soon.
If you're taking feature requests, I preferred the old markup behavior from 2.5+, where SA added the extra header field rather than rewriting the subject line. It'd also be nice to see a feature for controlling the Bayes autolearning from within the SpamFighter web interface (maybe if the install script created a default training address?).
Other than this experience, your module has been a terrific help for me and I've used it in several other places - this has been the first difficulty I ever had with any version.