Ok, flagging topics seems to be a bit of a hit and miss affair. Sometimes they will flag for notification and other times they won't.

Once flagged though, they have all worked so far. An important note is that it would seem it only notifies you once of a reply, even if there are 6 replies, you only get one notification email. You need to read the thread while logged in to reset it.

My PM emails still seem to be pretty random though.