No email notification

I have set my blog to notify me whenever there is a comment waiting for moderation, but I never receive emails. The email address is with the same company that hosts the blog.
Under Settings>>Discussions I have checked the boxes that say to E-mail me whenever “Anyone posts a comment”, and “A comment is held for moderation”
I have confirmed that the email address works by sending an email direct from several different providers, including the hosting provider.

Any ideas?