No, you're not mistaken. Email notification for responses to threads is very much a valuable thing to me and is available.
Somewhere in your User CP is an option to allow for instant email notification whenever someone responds to a thread in which you posted or to a thread to which you've otherwise subscribed.
The problem is that some email services are over-zealous in filtering junk mail, and AGF seems to trip such filtering. I had to set up a Gmail account for my AGF notification because my Bellsouth email service quit allowing AGF through. Others have had the same problem with other email servers.
Here is a thread I started some time back about the issue and how several of us were able to get email notifications restored.
Best,
Bill