I have a similar issue when trying to change my email address. I never receive the validation email to confirm the new address. Checked my spam folder of course.
I don't think you're supposed to get an e-mail notification when changing passwords. The "success message" also doesn't tell you to verify/check e-mail, minor security flaw here?
I've just tested this and the e-mail went through just fine with a brand new account. Perhaps their ISP blocks off *@lfs.net e-mails? Or if they're using some local e-mail provider, they could be blocking? Wild guesses at this point.