On Twitter, Google’s John Mueller said that links from spammy sites can be ignored as long as these links aren’t unnatural:
@scottzi07791910 @methode If they're not unnatural links, just happen to be from a spammy site, I'd just ignore them. Save your time for bigger issues ?— John ☆.o(≧▽≦)o.☆ (@JohnMu) 9. Mai 2017
That means that not all links on spam sites are unnatural. You can have natural links that happen to be on spammy sites. According to John Mueller, you can ignore the links on spammy sites and focus on removing unnatural links:
Unnatural links are links intended to manipulate PageRank or a site’s ranking in Google search results. If you pay for a link (except for a listing in a reputable directory), it is probably an unnatural link.
You can find a free tool that analyzes the links that point to your website at “www.OpenLinkProfiler.org“.