I couldn't agree more. But it may take some time to be implemented, if ever...
I do think this will be implemented sooner or later, though. Back when this question was asked, there was no email notification system whatsoever. Now, there is the unified notificationunified notification on top of every SEN site and while it has no RSS it does send out inbox only notification emails (every 3 hours, as of today).
So, other than having a stackexchange site open all the time, there is at least one other way to receive nearly instant notifications: Apps! In chrome, to me, this means Stack Alert. For mac, there's also Newt.