Does "Email Notification of New Private Messages" Work?

I'm on a slow private conversation with someone on the forum. I send a message last June. He noticed it, and responded in November. I didn't see his reply until just now. While I visit here at least every couple days, I don't login unless I post something.
I had "Email Notification of New Private Messages" set to on, but I looked through my email for the date of that November message, and I don't see anything.
I also just replied to him, and I don't see anything in my Sent Mail folder.

Thanks,
Paul