Did you know getting links from spammy sites is different from getting unnatural links? John Mueller of Google said so on Twitter just the other day. John said "if they're not unnatural links, just happen to be from a spammy site, I'd just ignore them." Here is the tweet:
@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) May 9, 2017
So he said no need to disavow links that are from spammy sites but you should disavow links that are unnatural.
Links from spammy sites are not necessarily unnatural links and thus real time Penguin handles it.
At the same time, unnatural links are probably handled by Penguin but you still can get a manual action or hit by another algorithm if you do not disavow them.
Got it? Links from spammy sites does not equal unnatural links and potentially can be handled differently.
Forum discussion at Twitter.
Update: Google said You Can Get Unnatural Links From Good Sites & Natural Links From Spammy Sites.