Hi Swanand,
Does this issue occurring for asynchronous interfaces also?
Also check in log viewer whether alertconsumer job if you have scheduled to trigger alerts accordingly incase of any failures.
from PI main page navigate to NWA-->TroubleShooting-->Log and Traces-->Log viewer
Check whether the job is running successfully or not as per the fequency.
My guess would be the job might not have ran when the message has failed.
Check this out.