Notifications are not setup automatically as they are optional. You can setup the Admin and/or User Notification by going to Edit Forms, hover over the form and then choosing Notifications.
If you have already setup notifications, be sure to double check the email address you used. If it isn't working, try another email address. Depending on spam or whitelist settings on your mail servers, this could prevent you from receiving the notifications. You can test this by trying another email address for the TO address (preferably on another email provider such as GMail).
Another possibility is your server may require you to send out mail using SMTP. If this is the case you will have to install a WordPress SMTP plugin. There are a variety of them in the WordPress plugin repository. You can view them here: