When I get comments on other StackExchange sites, they don't come to my inbox. Why is this so?
This actually does happen for me:
The icons are site icons and you can see I have both SO and MSO comments in my inbox. Your inbox is maintained across all SE sites; when I click the 'more inbox messages' link at the bottom you are taken to your full inbox on stackexchange.com; here is a shot of a few messages from different sites in mine:
All these messages have appeared in my inbox at the top of every SE site at the time.
I do apologize for the lack of hand-drawn circles on these screenshots though. I didn't see much point. :-)
You are getting them, I can see them! I call shenanigans!
Seriously though, they are there and I can see your inbox with many meta responses in it...tagging this as status-norepro.