Download links, submission notices and review emails are sent by WordPress. On many hosts, WordPress email lands in spam or never arrives.
The fix is a mail plugin that sends through a real email service:
- Install a free SMTP plugin such as FluentSMTP.
- Connect it to an email service (many have free plans) and verify your domain there.
- Send the test email from the plugin’s settings.
Check spam and promotions folders while testing. Don’t run two mail plugins at once; they can override each other.