Hi Robby!
Mailrelay sends a confirmation email by default when you use a form created on their platform.
In fact, if I use an HTML module in Beaver Builder to add the form, the confirmation email is sent.
HTML will do the job in the meantime, but it would be great if this could be done via API so we could use the subscribe module and take advantage of the styling options. 
I’ll add this to the User Voice.
Thanks!