How do I select roles to notify

I've looked through the documentation and can't find the answer. When I go to Home -> Administer -> Site Configuration -> Advanced User there are check boxes that are labeled "Send notifications on new user registration". Under the check box there is amplification that indicates selected roles will receive notifications.

I don't see anywhere to select the roles that should be notified. I've check the box and tested with adding and changing users. However, even user1 does not get an email notification.

Any clues to what I am doing wrong?