Yeah lemmy currently doesn't send notifications about moderation actions
Some mod teams add it in through manually dming (which usually will happen here if someone on the admin team is warning, banning, etc. you (apart from site bans which the user wouldn't be able to access their messages from) and its not just an obvious spammer or bot) or code their own systems to notify about actions
Everything's viewable in the modlog though and you can filter by yourself to see all actions made relating to you