Have you actually disabled internet access (on your router) to your nvr? Either via a firewall rule or some routers will let you block internet access when viewing the device in question (nvr).
If you have, then you must have set up a firewall rule to allow access on the port(s) the notification service needs - as such, you will receive the notifications when you are away from your network, but you should not be able to access your cameras without running open vpn.
If you have not disabled internet access to the nvr, there is your reason.
