Same issue here. But with Xbox Series X. I have the ATC tab up and I can see that there has been a communication to me because the reply button (buttons) appears. But I get no visual (text) or audio prompt.
As of right now, I have the ATC tab up all the time.
When I see that I get to reply (to something) - I do that, and by my own answer to ATC I can figure out what they want me to do (instructions, clearances, etc).