The code that you have now on your confirm page looks fine to me. Your form element is called Gift_Message correct? If so then the set session value looks ok to me.
If you are not seeing this in the email receipt it means one of two things, either the value is not being set, or the value is being cleared after it has been set. You can check the status of all of the session variables on your checkout success page by adding this code into the checkout success page:
This will print out all of the session variables that exist when you are on this page. In this list of session variables look for the one that is 'GiftMessage', you should be able to see the value that it is set to as well.