One issue I'm seeing with Devise is that confirmation emails can go to the spam folder. If the user could simply respond to the email, that would serve to confirm the email address and it would train gmail that the sender is not spam.
Any recommendation on if this is worth doing and how would I do it?
Or maybe there's a much easier way to avoid having sent application mails go to spam?
This is not Devise's fault. Devise actually follows the best practices concerning confirmation of email address.
I believe you fall in the category of bulk email senders, and that you will have to follow quite a few guidelines to sort this out.
I would advise you to go through Google help pages for more information on how to fix this: