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I do, but sometimes it's quite a good few hours later. Also (I'm sure you know this) you only get notified of the last comment you saw on the thread, so if there has been ten replies you'll only get notification of one.
Im meaning when you click the subscribed threads dropdown, it doesnt show any unread although there clearly is unread posts, ive missed lots due to this
Happens to me now and again. I go straight to my Control Panel everytime i sign on and once i have looked through all my subscribed threads i go to "new posts" only to find some threads that have had replies since i was last on.