RegistrationConfirmEmailMessage is only used when we require the user to validate the email address before he can login, it is not a welcome message, it provides a link to click that will activate the account. In the case of using RPX for example if the email is already confirmed then this email will never be sent.

So if you want to send a custom welcome message implementing a UserRegisteredEventHandler would be the way to go. I'm sure others would find this useful, if you do implement it, maybe you could contribute it to the project. 

Best,

Joe