They are registered on the subscribers list, but not confirmed. The same happens to me when I register on the site (http://ukulelebloggen.se/?page_id=782).
Yes you we’re right. With WP-SpamShield deactivated the confirmation process works fine.
I’m a bit worried though that this will lead to very much spam.
Do you know of any anti-spam plugin that works well with the newsletter plug in (which I so far think is super!)