Ok thanks for the information.
Going back to the original topic, I activated the notification for
sign ins, and:
I can confirm that it works on my Windows machine even if I
use NVDA under Windows 10, so no SkypeWatch needed since my
screen reader reports it perfectly;
I switched on my Macbook for other reasons so I took advantage
of that, and when I wanted to check this option there as well I
figured out it was already checked.