Encontrou esta informação:
"It only works on the Inbox folder" By default the new New Mail Desktop Alert will only show when the mail is delivered to the Inbox (as the option says as well in Tools-> Options-> button E-mail Options-> button Advanced E-mail Options). This means that when you have a rule configured to move your mail to a different folder the Notification won’t show.
To workaround this you can add the action "display a Desktop Alert" to each and every rule. Besides the fact that it is very tiresome, the real downside of this is that when you are in an Exchange organization the rule will become a local rule so that it will only execute when Outlook is running. This means that when you have added extra actions to the rule, like forwarding it to another address, this action won’t be executed either.
A better solution it to create a generic rule with no conditions and just the action to display the Desktop Alert.
1.Tools-> Wizards and Alerts… (press OK if you get an HTTP warning)
2.Button New Rule…
3.Select "Start from a blank rule" and verify that "Check messages when they arrive" is selected
4.Press Next to go to the Conditions screen
5.Verify that no condition is selected and press Next
6.A warning will pop-up stating that this rule will apply to all messages. Press "Yes" to indicate that that is correct
7.Select the action "display a Desktop Alert"
8.Press Finish to complete the rule
9.If needed move the "display a Desktop Alert" rule all the way to the top
Aqui: link
Parece que você está correndo.