Open the course , the blog or the forum whose notifications you whish to change. On the page where you can see the overview of the lessons, above the introduction on the right, you can choose which messages you would like to receive. This selection will then apply to the entire course. See the picture on the right.

If that doesn't work, go to dropdown of your profile, to adjust your personal notification settings for the membership site in question, since these settings are separate from 'Do Not Contact' which do not control someone's personal notification settings for things like blog post notifications, @mentions, etc..