No notifications from Messages when in FullScreen mode

I do not receive any notifications, either visual or sound, from using Messages when using another application in fullscreen mode. I have seen this when using video in Safari, when playing fullscreen games and in some fullscreen word processing software. This is not new to El Capitan. It has been ongoing since the notification center was added to OS X. The problem is consistent and no amount of signing into or out of accounts seems to impact it.

Details of my settings:

Notifications for Messages are set to banners and all check boxes are selected. Show message preview is set to "when unlocked." My sound output is set to Internal Speakers.

I would appreciate any suggestions. Thanks!