Gmail – Not all Gmail address variations are being auto-forwarded

Don't know exactly, but my guess is that when trying to do the delivery, the gmail server is looking up and figuring out the chain of forwards right from the start, in order to do the delivery properly the first time (rather than send the message on to itself, where it has to do another lookup, and so on). Given that, it would trivial for them to notice loops and break them.

Remember, though, that even if you get around that first level mechanism (perhaps by boucing out of gmail to another domain and back in), whenever a mailer passes on a message to another mailer (as in the case where you have a filter that forwards the message off to another domain), a 'Received' line is added to the message. I suspect that most mailers will eventually notice if you create a bounce loop involving them, because when the message comes back, the mailer will see that it already dealt with it, and can try to break the loop in various ways.

I have a similar setup and never had problems marking messages as spam.

I am sure mark as spam doesn't work that way.
Google can keep a track that you have enabled auto forwarding, and any emails that you mark as spam will be registered against the original sender and not your email ID.
Mark as spam is a one step process and if you ever mark a mail that you specifically sent from B to A you will never see another email from B. So don't worry and keep marking mails as spam if you feel so.