Watched threads and conversations send their emails using an identical system, so it shouldn't be the mail sending. Are you sure you're watching the thread with email selected? If so, you would get an email whenever you get an alert for the thread.
If that's not happening, I would disable all add-ons to confirm the issue. This isn't something that I recall being reported elsewhere.
We are having a similar Issue. Our Forum was launched the first of the year. The email notification system has been working fine for the past 7 weeks. However, starting 4 days ago multiple members starting complaining that they are no longer receiving messages. We are running Xenforo 1.5.2.
I have "logged in as user" with the complaining members' accounts and their preferences ARE set to receive email notifications.
If anyone has advice on what we can look for... please let me know.