When we had our last cocker, Sophie, spayed, we asked the vet if he could leave her ovaries there and just remove her uterus. He told us that it was very difficult to do this and they always remove the ovaries. When we said we were concerned about her losing her ovaries because we were thinking of the problems younger woman have, in that they have to take HRT if they lose their ovaries, he said that dogs didn't have a problem like that. Have to say that Sophie lived until she was 14 and didn't seem to miss the hormones.
As Cobweb says, I understood a spay was the same as a full hysterectomy and removal of ovaries, so I cannot see how a bitch could then get pregnant. I have certainly never heard of it happening to a dog or a human. I have heard of failed sterilisation, so maybe M&S are meaning that.