I guess Yahoo fixed this problem. I started receiving alerts earlier this evening.
I have this problem too. Now I know I am not alone and it is a problem on Yahoo’s part. I had Messenger 7 and this problem started on Tuesday night after midnight. The following morning, I decided to upgrade to Messenger 8 in order to rectify the situation but to no avail. I then uninstalled and reinstalled. I then installed Messenger 7.5. I still don’t receive alerts. I have contacted Yahoo help but that’s a joke! They keep on writing me to tell me not to use Messenger 5.6!