# /usr/local/sbin/spamd-setup -d
spamd-setup: cannot find service "spamd-cfg" in /etc/services

To fix this, add the following lines to /etc/services:

spamd           8025/tcp                # spamd(8)
spamd-sync      8025/udp                # spamd(8) synchronisation
spamd-cfg       8026/tcp                # spamd(8) configuration

I added them in order by port number.