I can confirm Bob's comments. I have a Pebble Time Steel. The Pebble vibrated from installed applications such as Multi Timer, but not on incoming notifications such as phone calls or SMS. The problem was apparently a buggy implementation of the quiet settings on the watch. I set Manual = Off, Calendar aware = Disabled, Weekdays and Weekends = Disabled, and Interruptions = Allow phone calls. This solved the problem.
You are my hero!!!!! Just activate and deactivate all settings under quiet mode and pick allow phone for last option. After this go through all your notification vibration settings from deactivated to high. My pre vibrated at high setting! After the first vibration all other settings work as well!
After some Time it gets automatically in quiet mode again, idk why. For testing i set all options to quiet mode for 1 min at midnight.
Did an RMA and my new watch with (3.9.2) behave as it should be. Maybe your pebble is also broken after the update.