Here is the article that states this. it is in the wordpress wiki.
Here is the quote from the page.
Note for WordPress users: You must find and use the default Wordpress link (permalink) to your return pages. The default URL scheme looks like this, " http://www.mysite.com/wp/?page_id=87
" where "87" is the ID to your page or post. This ID is visible in the URL when you edit the page. If you use custom / fancy URLs like this, " http://www.mysite.com/wp/check-your-email-and-confirm ", then your return pages must be created outside of WordPress. Explanation: when the script returns, it appends some data/parameters to the URL, and that screws up WordPress and the pages can't be found / won't load. Create the SubscribedURL, UnsubscribedURL, AlreadyOnURL, etc pages outside of WordPress and they'll load fine.
I can justify this as i have another website http://tffppodcast.com and I had to create my html page by hand. so far it works fine.
Hmm. looks like this wiki article I just sited needs editing and updating. I'm not a wiki guru so someone else will have to do it. lol! I don't want to brake anything.
Looking at the modify date This page was last modified on 16 July 2013, at 18:04. and I never saw an update reflecting this. Interesting.