Having the exact same problem.
Must say, I have been testing different MX records setups (as I've just moved the site from BlueHost to DigitalOcean plus Cloudflare, but the mail remains handled at BlueHost). After the migration, there were some mail problems, but they are now all resolved: getting emails sent directly, getting the site's form entries, can send out emails, and also the WordFence test email arrived without a problem.
Just no notifications of WordFence arrive.