Well your getting emails, so it's nothing to do the forum, just need to find the right setting >.<
XenForo does emails differently, you should get 1 email per thread, unless you visited it again before another reply, so several reply's will only trigger one email, unless you view the post before the second reply etc..
Did another look at the options, it defiantly looks like its only this one that controls it..
http://puu.sh/kLjR6/faf385c2b2.png
if all else fails, the admins can check the ACP/MTA logs to see if any errors are being shown