In order to receive notifications there are 2 steps that have to be done:
Step 1: setup and enable notifications - according to your post this one you have already done.
Step 2: subscribe to receive notifications for a particular item, subscribe to receive notifications for items that are assigned to you or subscribe to receive notifications for items included in the current iteration.
You can find more information about notifications here.
Can you confirm that you are either subscribed for an item or either enabled one of the personal settings and still do not receive notifications?!
If you want more personal notification rules do no hesitate to write to us.
the Telerik team