I was mentioned in this message while I was not in the chat room. Usually, this should become a notification after 15 minutes.
However, I didn't get any notification as can be seen in this screenshot:
As you can see, I do get notifications from comments and from chat rooms in Stack Overflow.
Also, this is not the first time. For long time I don't get notification from the chat room mentioned in the link above, while I do get notifications from Stack Overflow room. Possibly a bug?