E-mail notifications when members are mentioned

I am not seeing any settings in your screenshot that would prevent emails from being sent when a user is mentioned. You can confirm whether or not emails are being sent when users are mentioned by going to your site’s Admin / Emails / Sent page and entering mentioned into the Email Type filter input. The screenshot below is from my test site:

If the issue is happening on a site that we host, we’ll login and have a look at what’s going on.