I don't know the answer but maybe some of the others will have ideas when they get back.
I noticed several weeks ago that part of my PM & reported posts notifications were going to the spam folder. Seams like just about all of them are now.
But when I check my email I always start by clearing the spam folder first, looking to see what might be there that needs to be sent to the inbox & checked.
I haven't subscribed to any threads so I can't say anything about that.