This is a very common problem with the "Return-path" email header not setting correctly with PHP mail(), used for notification, welcome, and confirmation messages.
There is a work-around but it doesn't always work and is not recommended to be enabled by default as it may add an extra "X-Authentication-Warning" header to your messages.
Try changing this line in config.php:
$phpmailf = '';
To this:
$phpmailf = 1;
Regards