Why don't see notifications on 5.0.2 Android update for Sony Z3 Compact

Just updated to latest 5.0.2 Android on my Z3 compact, but noticed I cannot see any notifications for any apps on the lock screen. I have tried all settings (show all, not show sensitive etc.) for "when device is locked" setting, but nothing shows up. Could someone help provide a step-by-step guide on getting notifications to show on the lock screen? This is extremely frustrating for me, especially if I have to enter my PIN to get the home screen just to look at notifications... Thanks.