I haven't looked in great detail, but I have the same problem...although it's been going on for a few months now. I'm only set up to get E-mail notifications for PM's, but haven't gotten one since June 11th, even though I continue to get PM's normally. And, like you guys, my options are still set the same way and the E-mails aren't getting redirected to a SPAM folder...
FWIW...