Ty Marcovaldo, they weren't in my spambox, but it triggered an idea.
I went into browser webmail (haven't seen that for many years) and there the confirmation emails were - a lot of them
For anyone else this happens to - I was using Thunderbird with Avast Mailshield, and I now know that Avast will block the confirmation emails from BTC-E. You could turn down your security settings but better to check your email account at source.