I am a big fan of self-hosting, but it turns out that it is very easy to missconfigure things. I didn't realize up until now that e-mail to confirm signups to the newsletter were being blocked by MailGun because they were being sent from the wrong domain.
I am using Django Newsletter, and didn't realize it was pulling the e-mail configuration from the database instead of the settings. Took me a while to figure it out. Fortunatelly, the sign ups were saved, just that they couldn't confirm the subscription. Now, it is a matter of sending confirmation e-mails again.