Okay... I may be on the side of this working properly again. lol. Maybe I've been wrong this whole time in thinking it wasn't working correctly.
So coincidentally I was checking the mail server logs and saw another example of the same message go through to the same recipient from the same mail server, it was listed in the logs as "just now" so I quickly checked mxtoolbox and found that only 4 at that time had been listed, none of which were ones I was using.
Here is how it looked at the very moment I checked when it was "just now" in the logs:
Edit: Checking about 6 minutes later, I see the blocklists have aleady been updated for more (Spamhaus Zen in this case would have caught it if it were about 5 minutes earlier):
So I guess we can probably mark this as resolved, as I now see conclusive evidence that the various blocklists used just didn't have it listed until a few minutes after the message was received. I guess in order for it to adapt so quickly this spam attack on one of my users from those mail servers must be right at the beginning of a spam wave. Kind of neat actually to see how real-time these lists are. haha.