The individual messaging setting might be changed by users.
Please try to login as those users one by one, thenHome / ► My profile settings / ► Messaging
Make sure tickboxes are ticked as what you want.
Or ask the users to check it.
Normally, you don't have to this task.
But sometime, teachers complain that they didn't get the same email notification when they post to forum. Then, you have to ask the teachers to tick 'Email checkbox' for:
When I'm logged inMoodle default setting is unticked.