You're right, that IS confusing.
It says right there that it supports SPI slave but then in the table over the pins it says Unused/Do not connect on the SPI pins. I Googled real quick and it seems like we're not the only ones that are confused..... If you find an answer please let us know!

SPI can be (and generally is) conciderably faster then asynchronous (UART) but it depends on what the master AND slave devices are capable of. For example, if you set the USART up for 250kbit that will be conciderably faster then using bit-banged SPI (SHIFTOUT/SHIFTIN) but slower than using the MSSP module to do "hardware SPI" - which of course is the recommended way.

Using the MRF24WB0MB + MCW1001A combo doesn't allow SPI between the PIC and network module either - it's asynchronous (UART) only I'm afraid.

/Henrik.