When you click on the profile link in the message bar notifying about a new badge, you are taken to the activity section of your profile.
The last selected filter (e.g. comments) is still applied, so you don't necessarily see any badges. After clicking the link in the message above, I was taken here:
This is obviously not useful and rather confusing.
Similar behavior might occur with the new comment or new answer notifications and filters applied to the responses section.
Please change the link in the notification message to jump to the correctly filtered list of the activity (or other) section. Bonus points if the user-selected filter is not changed, i.e. the next view of that page displays the user-selected filtered list instead of the filtered list used to display the object the user was notified about.