I've had the same problem for months, and i've finally figured it out (I wasn't receiving admin approval emails):
In the User Management section you need to make sure your adminstrator has the option set to 'Receive Moderator Emails'. As long as this is set to YES it will work.
Also may need to check your email address in both the global config and the CB config are correct. I use standard php mail in the global config, but it seems to work when set to sendmail too.
So that option again:
1. Naviagate to COMPONENTS/COMMUNITY BUILDER/USER MANAGEMENT
2. Put a tick next to your admin user (i think you can have more than one admin if you like, they both will receive the moderator mails)
3. Click EDIT in the top right
4. Change to the CONTACT INFO tab
5. Change the 'Receive Moderator Emails' drop down to YES.
Thats it.