Greetings!
On each list's "List Settings" page you should see a section called "Email Notification". Enter an email address at which you would like to receive notifications and check off the notifications you would like to receive. Make sure to click "Save List" when you're done.
To test it, enable the above on a test list containing just one of your own email addresses. Send a test message to the list containing a "remove link" message code (!remove). Click the link in the email to remove yourself, confirm, and you should receive an email notification.
Please let me know if I can be of further assistance!
Regards