Notifications from ROBLOX (such as the recent one about the Developers Conference survey) don’t cause the red dot to appear on the hamburger menu, nor do they show up as an unread message on the sidebar. Due to this it’s very easy to miss them (the only reason I knew of the survey was because of ReeseMcBlox’s post here on the forums).
I think it’s intentional that they don’t show. Notifications don’t go away after you’ve viewed them, so you would be stuck with the red dot and not know why.
The problem with that is that there’s no way to know if you have notifications unless you go to your inbox, which I generally don’t do if I have no unread messages.
They haven’t been giving notifications for awhile, even before the new website theme.