Some times I notice I have a new badge by the number in the header, but there is no notification 'You've earned X badge, see it in your profile'. Over time I got the impression, that this happens only for badges I already have on SO (for example I've earned Citizen Patrol, but there was no notification for this; but when I earned Nice answer there was clear notification for it, since I didn't earn this at SO). Is it the case, or something wrong with me? If it's the case, why?
As jonsca mentions, if you've obtained at least 200 reputation on one or more sites (giving you "veteran" user status), the notifications you receive are reduced on associated sites to prevent the notification bar from spamming you about the more trivial badges.