If a subscriber reports a missing confirmation message to you, there are a few options available to you and the subscriber.
Look for the message in any other folders it may have been mis-routed to. For example, if the subscriber is using Gmail, have them check their Promotions tab.
Wait an hour, then check for it again.
Use a different email address.
Contact their ISP and check any filters on their own system that may be affecting the deliverability of the message.
Although most issues with the delivery of the confirmation message can be resolved through working with the postmaster of most email providers, the quickest and most straight-forward way to a solution is simply to have the subscriber use another address that likely will not carry the same issues.
If you haven't yet suggested this resolution, you might strongly consider doing so at this point.
Please Note: To help with the filtering of the confirmation email, customize the subject line and body of the confirmation message.