We analyze the role of spatial electronic correlations and, in particular, of the magnetic fluctuations in Mott insulators. A half-filled Hubbard model is solved at large strength of the repulsion U on a two-dimensional square lattice using an advanced diagrammatic non-perturbative approach capable of going beyond Hartree-Fock and single-site dynamical mean-field theories. We show that at high temperatures the magnetic fluctuations are weak, and the electronic self-energy of the system is mainly local and is well reproduced by the atomic (Hubbard-I) approximation. Lowering the temperature toward the low-temperature magnetically ordered phase, the non-locality of the self-energy becomes crucial in determining the momentum-dispersion of the Hubbard bands and the Green's function zeros. We therefore establish a precise link between Luttinger surface, non-local correlations and spectral properties of the Hubbard bands.