I've had that same problem. I don't get any notices of updates. Once I hear about them through WP Central or wherever (my wife's phone still gets them), then I go into the marketplace and search for the app. Once I get to the app's info page, it recognizes that I need an update.
I found a post at
Microsoft Answers that detailed this problem. The moderator said, "We are looking into the issue."
I hope this Mango refresh that AT&T is supposedly pushing out in the next few weeks fixes the problem!
Jonathan