We just missed a URL down notification because the user experience of setting up a notification profile for URL monitor issues is confusing.

It turns out you have to specify the Notification Profile in the URL Monitor AND check the box in the Notification Profile to notify if ANY URL DOWN.

In a URL Monitor, there is a section that says "Notification Profile (Optional)" (see screenshot). This would be understandable by itself, but if you take into account a notification profile says to notify if ANY URL DOWN, it makes me think I can EITHER set it here for individual URLs OR my Notification can send an email for ALL URLs.

Ideally, the Notification Profile should have a URL Monitor Selection box (like scripts or processes).  You can "select all" or "select individual".