I've had a look into it and can't find any record of you ever being sent any emails at all. This may be an issue with the forum software specifically but I'd recommend using the Authenticator App option regardless if you want to set up 2FA.
I'll see if I can find what might be the issue on Xenforo's side, but development on this iteration of the site has largely stopped now in favour of the upcoming new creative-corner-focused build, so more likely than not, it won't be fixed until the new site starts rolling out.