You could just notify the user to add you to their contact list. Like :

  Emails will be sent from feed@example.com. If you're not seeing any email, please check your spam inbox and add this address to your contact list,...[rest of notice].

If you’re not seeing the email in the first place, you’re not seeing the “fix.”

The message should be in the subscribe page, not in an email.

Wait, but then they wouldn't be able to subscribe you to their shit without your consent.