According to the database, you are watching this discussion, but your notification type is set to "control panel only." You will not get emails with this setting.
Still, you are correct that XenForo (site) user alerts were not working for new comments. The alerts were being recorded with an invalid content-type name, so they will never appear because there is no handler for the invalid type. This has now been fixed; the bug had appeared in VaultWiki 4.0.1.