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Did you enable it in UserCP?
 
What do you want to be notified of? The three options I see:
Email from staff
Email when subscribed threads are posted to (doesn't seem to happen)
Email when new private message received
 
Well the PM one works for me.
Also the subsciption one is actually controled when you subscibe to a Thread. There is a drop down box.
The Admins do not send bulk e-mail annoucments so that one is useless.
 
Maybe your Anti spam is deleteing them?