Not sure why it's not working for you. When you click on "User CP" does it show you as being subscribed to any threads? Are your options set to allow for emails?
I think the same thing happens for me but I still get notification via email. I know for sure that I get notification on any thread I have posted in and those are the ones that are most important to me. They don't last in that usercp field for very long after a new post in that thread. I'll try and subscribe to one that I haven't posted in and see what happens.
Don't forget that if you go into edit options you can set it so you get an email notification by default whenever someone responds to a thread you've participated in, even if you haven't actually subscribed to it.