Be sure to check the Spam folder. It is very likely that the messages are being filtered out by your email provider.
You could also try using one of the form submission capture plugins, such as Contact Form DB (free) or Storage for Contact Form 7 (commercial), to see if the entries get stored in your WordPress backend.
Though the plugin successfully sends millions of emails every day, there are a host of issues that can stop or delay emails on both the sending and receiving ends. It depends entirely on your local Server & WordPress configuration. You will need to investigate this issue for your particular local configuration.
See Contact Form 7 Email Issues. Most people that work through this information appear to be able to resolve their email sending & receiving issues.
