I have created a few custom labels under my account.
And I also set the ‘Mail Rules’ for this.
So, any email that contains ‘banana’ in the title will automatically go to the ‘Fruit’ label.
(just an example)
This Mail Rules work flawlessly, BUT!
I don’t get a new email notification when I have those labelled emails.
I have missed quite a few emails 
Is this a bug or is there settings for this?
This is expected behavior, not a bug — Mailspring currently only triggers desktop notifications for new messages that land in your Inbox. Messages routed to custom labels by mail rules bypass the inbox and therefore don’t trigger a notification.
This is a known limitation. The workaround is to have your mail rules apply labels without removing the message from the inbox (i.e., don’t add an “Archive” or “Move” action to the rule — just a “Label” action). That way the message stays in your inbox and triggers a notification, while also being labeled.
I understand this isn’t ideal if you specifically want to keep the inbox clean. Supporting notifications for custom-labeled folders is something I’d like to improve in a future release.