I'm sorry, there's no nice way to put this: whoever designed the profile-settings interface is a goddamn idiot.
Yes, it turns out that the notifications checkbox is on the Modify Profile page, which doesn't appear until you select one of the three Profile menu items (Summary, Account Settings, Forum Profile). Stupid me--I was looking for a notifications control on the account settings page itself.
All of which confirms my conviction that programmers (i.e., geeks) are the last ones who should ever design user interfaces. They'll use the most convoluted, non-intuitive path every time.
[rant off]