Is the Application Control rule working at all? You can check it at the client (View Logs > Client Management > Control Log) or at the SEPM (Monitors > Logs > Application and Device Control > [Log Content] Application Control > Advanced Settings > [Event Type] Application Control Rules).
As Brian says, you have to configure the alert. By default, the condition and the damper settings are set with the goal to bother the admin not too much. You could set "condition" to "1 occurrences within 1 minutes" and the damper to "None" to increase the sensitivity of the alerts:
In this setting above every Application Control event will trigger a notification and an email, not only until 3 events will happen within 1 minute.