In Safari browser I get the Cannot Confirm Server Identity popup message and the option either to cancel or to continue (in spite of the warning). I only get the email if I then continue and attempt to connect, at which point the browser then displays the message from the router (AIProtection) warning about malware on the website. That's in the Safari browser. However, in Firefox or Chrome, these browsers are so protective that they won't even offer the option to ignore warnings and connect; so in these browsers I can't even get past that security layer to the router's AIProtection layer, and therefore I don't generate an email.
So if your browser allows you to get to the point where you see the AIProtection warning it's only then that an email should be generated. (And perhaps you might want to consider using a more protective browser in future.)
Could your failure to generate an email be down to the browser you're using refusing to pass your request to the next level - the router?
I rarely, if ever, see the AIProtection screen in my browsers nowadays (and so hardly ever get an email) because of the layers of protection from my browsers (and my internal malicious-domain-blocking DNS server).