In the Advanced settings, Triggers -> Failure - Any listed "Developers" but not "Recipient List." When I add Recipient List my console output says:
Checking if email needs to be generated
Email was triggered for: Failure - Any
Sending email for trigger: Failure - Any
messageContentType = text/plain; charset=UTF-8
Adding recipients from project recipient list
Adding recipients from trigger recipient list
Setting In-Reply-To since last build was not successful
Successfully created MimeMessage
Sending email to: <me>
If not including the recipient list is the default, that's not very helpful. I would not have expected to have to open Advanced settings to get basic functionality.
The built-in email notification works. This log snippet is with both enabled.