Solved.
It’s a matter of MX. if you add Mailgun MX to your DNS, then the confirmation email goes to Mailgun and you need to set a route to have it delivered to you.
Alternatively, you can set a different MX for your account, while keeping the other records from Mailgun (TXT and CNAME if I remember correctly). This way, you’d be able to send messages from both the accounts (say Gmail and Mailgun) and receive to the ine you set the MX (say Gmail).