I've found that about 10% of people reply saying they never got what they signed up for, which is CRAZY high to me.
I think this happens for a variety of reasons, but if they never get the opt-in, you start on a bad foot with 10% of the list you just built.
This email makes sure they don't fall through the cracks, and shows that you really genuinely care.
The normally do get this email even if the first never arrived, because so many people reply to it, there are no links, and it looks like something a normal non-biz person would send.
It's a great safety net.
Also, many people sign up for something and then get distracted by something else... this brings them back to your world and reminds them to check it out, so you're top of mind again right away.
That's why I send it 2 hours later and not the next day.