There should be a task somewhere directly addressing the issue. I am filing this to make the issue more visible.
Currently, the cross-wiki notificaitons are not displayed on Special:Notifications page.
When a user have only cross-wiki notificaitons, he can see them in the Notification overlay - the screenshot below informs a user that there are 28 notificaitons from many wikis:
However, when 'All notificaitons' link are clicked, Special:Notificaitons page simply states that there are no notificaitons. Maybe we can add some message to inform a user that only local wiki messages are displayed here?