I created a zendesk issue but got no response.

Same here, also reported in https://screeps.com/forum/topic/3046/confirmation-emails-to-set-up-an-email-address-are-not-arriving

I've tried to enter multiple different email addresses but none of my email addresses receives a set-up confirmation mail and none of them are getting set up. No, they aren't lost in Spam, I checked the mail logs of my email server and they didn't arrive on it. Please fix this. Thank you