This is not a problem and is working exactly the way it was intended. In order to not be considered spam email the notification is off by default to conform to the law. When you signed up you had the choice to opt in or out. You mush have left this on ?opt out?.
Here is how you can turn it on:
Click "User CP" on the top left of the navigation bar. Then click "Edit Options" from the left side links. Scroll down and look for "Messaging & Notification" in that box look for "Default Thread Subscription Mode" Then Look for the option in that box that says "Default Thread Subscription Mode:" and change it to the option you would like.