I’ve tried all sorts of mail settings, rebooting etc etc - even raised a case with apple and was dealing with a senior agent who screen shared with me on my devices and still couldn’t get mail notifications to work properly and I only use an iCloud email address!
After several phone calls I was told that apple were aware of the issue and engineers were investigating but there was no lead time for a fix whatsoever.
Im running the latest iOS across all of my devices as of now which are an Apple Watch Series 5, an iPad 11 pro M1 and an XS Max iPhone.
Currently not getting ANY notifications when devices are asleep or locked - only way of getting email is to open the mail app and manually check and even then it takes an age to check and download any emails I should have been notified of.
Utter garbage that we can’t get simple notifications to time sensitive mails.