Not sure if this is a bug or not? I can't see if/what they're typing to me, but their name still appears as one of the recipients in whispers. :L
I believe it does have an effect actually, people you blacklist cannot send party invites to you, and if somehow you and the person you blacklisted end up in one party, you will not be able to see their party chat. Not sure if you can get whispers from them or not tho.
Interesting, I guess this is because the whisper is still technically received by your client and is being added to your whisper history window prior to the client checking the blacklist and deciding to not show you the message. We will look in to this when we have some free time.