I'm receiving email spam for my business ("Nice product! What does your Go-To-Market strategy look like? ..."), and they often include 'if you don't want more emails from me, just reply "remove me."'. I assume this is either to create a sunk cost, to validate that the email address works, or to avoid me hitting the Report spam button in GMail.
The fact that I'm not replying even after your second attempt should be a strong indicator that I want you to remove me. If you send me three mails, I'll mark your email as spam and block you.
A visible unsubscribe also contributes to pro forma compliance with the 2003 CAN-SPAM act.
Many feel that this isn't actually effective in stopping spam.
It's actually because replies boost their email domain's reputation. (Mark as spam is a good response, given that it's exactly what they don't want)