If you see the default “Thanks for contacting us! We will get in touch with you shortly.” even if you’ve created a custom confirmation for your Gravity Form, your entry may have been marked as spam.
All entries deemed spam are shown the default message. Login and try again–logged in users will not get caught in the spam filter.
Also, visit the Entries list in the dashboard, and look for the Spam folder. Your entry may have been saved with the other Spam.
Where in the Gravity Forms source code does this happen?
plugins/gravityforms/form_display.php line 3894