I have seen multiple threads recently in many different sections of this site in regards to people not seeing notifications when their friends come online. Even though they have their notifications turned on, they are not being notified. Not to worry as you're not alone. Xbox Support/LIVE Engineers are investigating the issue. While it hasn't been confirmed as widespread, there seems to be more and more people with this issue.
Below I will put links into a few different threads that other users have created about this.
Number 1. Number 2 with an answer from support. Number 3 with a confirmation of the issue being investigated.
The above links are just a few of the many, but as you can see it will be worked out in time.
I hope this saves people the hassle of posting a new thread and gives them insight as to whether or not Support/Live Engineers are aware.
PS, I currently have the same issue.