In the docs (README and docs of subscribe!), the do syntax is written with parantheses surrounding the arguments:

subscribe!(mqttconnection, "group1/device2", QOS.EXACTLY_ONCE) do (topic, payload)
    do_a_thing_for_device_two(payload)
end

This led to problems because Julia would complain about not finding a function with a signature expecting a tuple.
The function is actually called with two arguments, so the correct syntax would be

subscribe!(mqttconnection, "group1/device2", QOS.EXACTLY_ONCE) do topic, payload
    do_a_thing_for_device_two(payload)
end