Role Delegation Notification is not working

Summary

It is my understanding that in 20A a new feature was rolled out allowing a notification to be sent when a delegation is set up.

Content

PER_USER_DELEGATION_SEND_NOTIFICATIONS has been changed from 'N' to 'Y' in Manage Administrator Profiles but after setting up a delegation, the delegate did not receive an email notification. Is there an additional step that must be completed to ensure that delegates are informed when they are assigned a delegation role?