I agree it's tiresome. Worked fine for me, though when I visited your games (my email received them within 2-3 seconds).
Maybe your spam filter is blocking email from chess.com's pgn game sender? (have a peek at your Trash / Spam folder) If you suspect that is the problem, I suggest you should add the email address for chess.com to your email's "address book".
sftac
Thanks for the advise. It actually turned out to be a rule used on mail in my inbox, which was shuttling all mail from chess.com away neatly in a chess.com folder. This predates the advent of smart mail folders, which work for all messages in my entire email repository. Either way you look at it, it was my bad. Sorry for the bandwidth, just another confused old man. USER ERROR strikes again. The pgn files were indeed delivered promptly. :-{)
Problem Solved. 
73, de Kyle, AG2F sk
I have made several attempts to download a pgn file of my Chess.com Live games, and I'm always told that they will be emailed to me, but non have arrived. Why can't they simply be downloaded, as the prompt suggests? I can't even review prior live games, that would allow me to manually recreate the game, by playing both sides moves in a Chessbase. Does anyone know what I need to do to get my games downloaded to my personal database?