In meta.wikimedia.org and en.wikipedia.org I have cross-wiki notifications enabled and I receive them normally. However, once read, there is no way to access them any longer. The list that is dropped down when clicking on the bell icon does not include them, and clicking on All Notifications also does not show them.
Topic on Help talk:Notifications
I think it is a feature: you have to go to the local wiki to find back the notification.
Well, for some reason there are 81 wikis my account is associated with (see CentralAuth, I can't paste links here). I remember receiving a notification in one of them, but don't remember which.
Some plans were made in the past to have Special:Notifications being a sort of inbox, where messages from everywhere would be visible. Some technical difficulties so as a low interest from communities have put a low priority on this feature. And at the moment, there is no plans to change anything on Notifications. Sorry.
My account is connected to 527 wikis, and I edited 127 of them. I switched to email notifications the ones I edit less (or not at all), to keep track of the messages coming from them easily. I know that you look for an on-wiki solution, but I hope that this alternative would help.