The forum subscribe page redirects back using the extremely odd forum_go_back_to function, which looks for a return address in the session.
If there is no return address, such as when clicking the link from an email, the default address is to the forums index.php for the course.
We (and now other sites presumably, thanks to the general config option) do not use index.php so this is a bit confusing. It is also unnecessary because subscribe.php is guaranteed to have a specific, valid forum ID.
I think this session behaviour is awful but given that we are near 1.9 release I don't propose changing it. I'm just tweaking it so that it redirects to the forum page instead by default.