How does double opt-in confirmation work?

Hi - I have turned on double optin.

Here's what works.

1. User fills out a form on the website.

2. User gets an email to confirm the subscription. Email is formatted & branded correctly.

3. User clicks confirm.

Here's what doesn't work:

4. User gets ugly web page saying 'Thank You' (See below)- How do I customize this? If I got this, I'd wonder what was going on.

5. User never gets the welcome email