To change how and when your notifications appear, go to Settings, which you find by clicking your profile picture in the lower left corner.

In the section Notifications & sounds you find all the settings regarding your notifications.

Display notifications
State if you would like to receive your notifications only when the client is unfocused, or on all activity, whether you're working in the client or not.

Notifications behaviour
Check the first box if you would like to receive a reminder on a notification you haven't responded to. The reminder is sent after 30 seconds.

Dock app icon / Taskbar icon
Here's where you choose which notifications you want for your dock/taskbar.

Notification sound
Here's where you choose which sound you like the best to be played for your notifications. You're able to hear them out by clicking Send Test Notification.

Psssst! To adjust the delay of notifications in Win 10, please check out the question How do I adjust notification delay in Win 10?.