Hi, what is the thank you page I see clicking the link? That link is generated by {unsubscription_url} and that link should bring to the newsletter dedicated page for messages where the unsubscription confirmation messages is shown.
That message should contain the {unsuscription_confirm_url}. all that if you want the unsubscription be made of two passages.
Otherwise you can directly use the {unsuscription_confirm_url} in your emails and the subscriber will be immediately unsubscribed.
Stefano.