Very odd, because it shows 'Use email notification by default' with a black spot firmly in the 'yes' at 1258Z.
If it is 'Using this option emails you whenever someone replies to a thread that you have participated in' you are seeking, I hesitate to tell you that I do not think Danny has enabled the function anyway! I have it ticked and I do not get any emails about replies.
The only other suggestion I have is to log out, close your browser, and then try to see.