I never used the led notification, but the audio notification still works. I just tried it out with my Touchdown mail client which pushes mail from my Exchange server at work.
So with wifi set to never sleep, I get a notification tone as soon as I get an email regardless of whether the screen is off. However, if wifi is set to go to sleep whenever the screen is off then if I get an email while the screen is off I will not get the notification tone until I turn the screen back on.
This behaviour defeats the purpose of having push email, since I have to check my phone to see if I have email rather than my phone telling me when I have email.