I believe this is related to this bug.
I enabled empathy notifications by whitelisting the Empathy application. This is not exactly restoring 11.04 behavior but it is a workaround until the bug is fixed.
Here is how to accomplish this:
~ $ gsettings get com.canonical.Unity.Panel systray-whitelist
['JavaEmbeddedFrame', 'Mumble', 'Wine', 'hp-systray', 'Dropbox', 'scp-dbus-service', 'Skype']
~ $ gsettings set com.canonical.Unity.Panel systray-whitelist "['JavaEmbeddedFrame', 'Mumble', 'Wine', 'hp-systray', 'Dropbox', 'scp-dbus-service', 'Skype', 'empathy']"
Your initial list may look different than mine. Take note of the double quotes around the output list when passed as input as well as the new entry for empathy.
You will need to log out and login again for the changes to take effect.
Note: This is not ideal. On my box, when the old notification area blinks, it looks like it's missing the correct icon, but at least I know I have messages waiting. I am going to leave mine like this until they get Empathy working with the new notification area.
A friend at work found the solution. In Pidgin, the Proxy tab in settings doesn't work. But if you go to the Accounts window, modify an account and go to the Proxy tab, you'll be able to edit manually the proxy of that account. In my case, setting "Use environmental settings" worked.
Best Answer
It does not look to me like there is a way to enable notifications for this, at least not if you're using Unity.
However, you can set sounds to play whenever you receive a message under Edit > Preferences > Sounds:
However, you can have notifications displayed (whether you like it or not) if you use Empathy through GNOME Shell without your chat window being focused. A notification will appear at the bottom of the screen, showing the messages and even allowing you to type a reply.
I realize this amounts to my answer basically being "use sounds instead or switch your session", but that's the best I can come up with.