The settings for all that is stored in a cookie on your computer. Email notifications are a different beast, and we recently removed all thread/forum subscriptions as there were too many accounts with bogus email addresses set to get email notification. You just have to subscribe again.
But if you are expecting an email notification, you will need to enable it in your "User CP" as those were all turned off recently due to the same above problem.
Email notification is causing us a lot of grief. More and more ISP's are taking to blocking all email from our servers due to people complaining about the notifications rather than simply turning them off in thier User CP. So, we turned them all off. If you want those, you will have to turn it on.
If you want the ICONS to reflect the correct status of the forum and thread, you will have to allow the cookie the bulletin board uses to be stored on your computer.