I am using the cms:check_spam tag in a contact form. When the this tag kicks in, and blocks an e-mail address, a short message in large font is presented on a white screen. I am aware of the theming capabilities of Couch; and I am sure this can be themed. However, I cannot find how to do it. Which _system html file should I copy and adapt to customize this (and other similar) messages?

Anyway, coming to the solution - I am sorry but you cannot theme the message; however, you may use your own custom text for it. The <cms:check_spam> tag accepts a 'display_message' parameter which you can use to change the default message (which is '<h2>Flagged as spam!</h2>').
Hope this helps.