When you create a new Form, by default it doesn't send any notifications as to avoid spamming your inbox.
If you need to set a notification address you can follow these easy steps.
Navigate to My leads => Forms
Locate the form for which you'd like to receive the notifications and click "Edit", as shown below.
Within the Edit form menu, choose "Notifications" as shown below
Toggle the switch to "Notify me" and input your email to receive a notification for each form submission.