So, we lost our SQL Sentry database server last week - thing took a dive. And, oddly enough, we didn't get a notification from SQL Sentry, even though the database server was being monitored.
However, from talking with their tech support (who, honestly, are pretty awesome), there's a new notification that can be enabled, that fixes that. It's not on by default (though I told them they need to change that), so you SHOULD enable it.
In the Navigator Pane, go to Shared Groups (Global)
Open Failsafe Actions (on mine, it's a tab on the right side of the app)
Add "Monitoring Service: SQL Sentry Database Offline", Send Email
Add "Monitoring Service: SQL Sentry Database Online", Send Email
It also seems like they've improved the way the monitoring services work these days - it was scary easy to add a secondary site that uses our main SQL Sentry database, but monitors only servers at that site. It's also really easy to add a backup/load-balancing monitoring service in general - install the service on another box, point it at your main SQL Sentry database, and away you go.
May my pain be your gain.