I solved it myself.

I think it is because the mailbox is not set to receive email from outside the organization. The notification for a databricks job comes from Microsoft(@microsoft.com). I have enabled that option for external senders and now I am receiving the notifications.

Follow the steps below:

1. Go to settings of the group in your outlook
2. Under 'follow in inbox' , select 'receive all email and events'.
3. Next, click on edit group.
4. Select the option 'Let people outside the organization email the groups'
5. Click on save.

You should receive the notifications now.

Thanks!