Notifications - does power need to be on?

I'm a newbie to the Pocket PC world, but it seems strange to me that my X3i will not sound a notification if it's powered-down. My old Clie used to automatically power itself up in order to sound a notification.

Is their something in the settings that I need to change?

[Jogga]

Your Ax will power on for reminders and sound a notification, I guess that's the same as your Clie.
As for notifying you that you've turned it off why would you want to know that you've pressed the off switch? The giveaway is when the screen goes dark.
Seriously though, it's probably to conserve battery power; I can't find a notification option for power off in the settings menu, so I figure that you can't do it.
Jogga

Your Axim is supposed to wake up when an alarm or notification is triggered. You just ran into the infamous WM2003 alarm bug. You will find that your alarms will trigger and sound but it is not always consistent. There are workarounds for this. I suggest trying Burr Oaks' WakeUp Tweak which can help stabalize the alarms and notifications.