I just ran a test subscription through my brand new CBSubs (J 1.5.11 / CB 1.2.1) site. Membership activation went perfectly but I did not get my auto-welcome PM.
Plugin is published and it worked with regular registration tests, not including payment.
No specific mods/components, etc are tied to the subscription plan as the site is only for registered (subscribed users) overall.
Is this a known issue or something I need to look for in settings somewhere? I love being able to welcome new members with a PM.