When I reboot I find that I'm not getting new mail notifications and checking the settings shows that the switch for new mail has been set back to off. killing the application and starting it up again does not seem to change this setting. I have pantheon-mail set in my startup applications. Running elementary loki and have a single gmail account connected to mail.
It sounds like you've encountered a bug in Pantheon Mail. I've experienced a somewhat related issue: when I turn off "always watch for new mail" and close the application, I still get mail notifications.
You can report a bug by following these instructions.