Yes, we filter all email that comes to our system including email that is destined for the Backup MX servers.
We do this because spammers are notorious in their desire to thwart your email filtering services that contain anti-virus and spam protection. One of the ways that they do this is to deliver email to the BackupMX server and then hope that this spam will be delivered to your primary server. They feel that the BackupMX server has less stringent spam controls and therefore it will bypass the filters - however we have plugged this type of exploit and our enterprise email service filters all messages for viruses, spam and has built in phishing protection.