Hi MattyRob,
Most email packages make anything that looks like a link clickable.
Some have bugs: eg thunderbird doesn't always do it (not just me) : http://drupal.org/node/1198492
For the same confirmation message - gmail fine, but thunderbird not.
In exploring this, it seems to me that the S2 code is echoing a plain link for confirmation messages (I'm ready to be corrected :) ).
I'm looking at "function send_confirm" and following the code on $link down to line 770 in subscribe2.php and it doesn't create a hyperlink anywhere:
$body = str_replace("{LINK}", $link, $body);
whereas in function substitute line 360 for the email template, it does create a hyperlink (but that is for other purposes, not the confirmation link.)
Adding this line
$link = "<a href=\"" . $link . "\">" . $link. "</a>";
before line 770 fixes the problem for thunderbird users (and any other email programs that don't make unhyperlinked links clickable.