Easiest and probably the most effective solution to make sure you get all your alert emails, etc., from not only Wordfence but any other WordPress plugin (easy digital downloads, etc.) that uses wp mail, etc. is to install the AmazonSES and dkim mailer plugin or wpMandrill plugin (if it works for you. wpMandrill plugin didn't work for me.) and then signup for a free mandrill account and input the smtp mandrill info on the amazon ses plugin settings page or wpMandrill if decide to try that plugin out. Remember, the latter didn't work for me.
Going forward, pretty much all WordPresss emails (those using standard wp mail), except some I've noticed like Mailpoet (uses php mail by default) for example will be sent by Mandrill instead. the mandrill team (believe they are affiliated with mailchimp) works very hard to stay off blacklists and their emails are less likely to get flagged in gmail, yahoo, etc., especially hotmail which is the worst at blocking emails. mandrill also allows you to check deliverability of emails too which is a cool bonus.
This solution has worked great on my multi-user blog and I haven't missed any emails since implementing it. In fact, my easy digital download purchases are no longer not reaching customers, especially Hotmail customers. This has saved me time dealing with customers who tell me they never received their purchase receipt with download via email.
Hope this helps. Works great, if you're having email deliverability issues with any plugin pretty much, this solution works wonders.
Also, if you use the Amazon SES plugin, an added bonus is that you can setup DKIM for email validation, this way all other emails that don't use wp mail will now be DKIM signed, lessening the chance these standard emails get flagged too. Win win.