Are they members you direct added (Premium or enterprise groups)? Or are they members you invited?
Neither. It is a "free" group and they are simply new members signing up.
If they sent in a subscribe email (rather than you direct adding or inviting them) to join your restricted group, you can set up a Pending Subscription notice that includes any information that you want them to know about.
Sorry, I see that I made a mistake in nomenclature. By "created Welcome Mail", I actually meant the Pending Subscription Notice. In any case, it does arrive late. I even tried signing up myself as a user to confirm this. The Pending Sub notice arrived 10 minutes after my confirmation mail.