I tested this.

1. Go to your homepage
2. using the mentorship module, send a message to your mentor
3. go to the mentor's talk page

Expectation:

• you are subscribed to the topic, which allows you to receive notifications in case of a reply

Reality

• you aren't subscribed to the topic

We are fortunate that most mentors take the habit of pinging the newcomer, as we released Mentorship to a good number of wikis before the release of subscription. But this habit can be unknown, lost, or ignored, causing newcomers to miss a reply.

I noticed this was suggested by a community member as well.