So these are settings for me:

But I still receive e-mail notifications...
Also checking the box and changing from weekly to no e-mail and saving settings does not change this setting as the updated page still returns with "weekly".

Are you not just getting notifications to threads you are already subscribed to ?

That option is only to not subscribe to threads you create or reply to.

Ah a bug had creeped into the settings page. It will save that setting again.

But was that your only bug? You say you still receive notifications, which is correct, because of the subscriptions you already have. Those will stay on their email setting. So in order to receive no more notifications you'd have to adjust your existing subscriptions.
But I see that's a bit hard to do with no multi-select option. Will have to look at that soon (i want to do some forum work anyway over the couple next days).

Yup,was able to change and save the setting now.