I had to take your instance details from the support ticket to troubleshoot this further. At first I must say that your Service, Event and Transactional message template is all properly defined.
When I subscribed my profile to your Newsletter service, I got a confirmation email.
Your requirement is to subscribe profiles using workflow. Workflow is to be used for mass subscription and unsubscription. Using this way, there will be no confirmation message sent because it is assumed you are pulling in these profiles from a trusted source where they have already given their confirmation to subscribe to your service.
The confirmation message functionality is available for API based subscription or subscription through landing pages.