I contacted customer support through chat, and she (Cristina D) provided a solution and it nearly solved the problem, the push notification worked for Whatsapp but there is still some delay (about 5 minutes), please follow these steps and I hope it works for you
I'm using HTC 8x)
1) UNPIN windows store from start
2) ERASE Internet explorer history
3) ADD new language to the keyboard (Settings --> keyboard --> add keyboards (and choose a language that require DOWNLOAD)
4) when it finishes downloading it will ask to restart and install
5) after it restarts UNINSTALL whatsapp and REINSTALL IT (you can get conversations back from backup when asked, no problem)
and It worked
Again it may have a bit of delay still bit its notifying me when the phone is locked