Yes, Discourse will still send them emails. Email notifications sent from Discourse are not affected by using Discourse Connect as the authentication system.
A user on your WordPress site who has never accessed Discourse is not considered to be a user on Discourse. They will not receive any email notifications from Discourse. The only exception to this is if you enable the WP Discourse “Create or Sync Discourse Users on Login” setting:
If that setting is enabled, a Discourse account will be automatically created for users when they login to your WordPress site. In that case, if a user has logged into WordPress, but never visited your Discourse site, they will start receiving the weekly digest email from your Discourse site.