Is there a setting where one can enable email notifications for when new threads are created? I try to look at the "new since last visit" page periodically to catch new topics but it often doesn't list them all unless I check that link every time I visit any page...

I'm not sure if there's an option where you can watch the entire site, but I know of this way: You can go to the forum you want to watch and click on "Start watching forum," which is located about 3/4ths of the page down/right below the page numbers of the specified forum.

On other forums I've seen the forum-level watching work such that it sends you an email for the first new topic, but then no further emails for new topics until you visit the link provided for the first one (meaning topics in-between that time are not email notified). Do you know if that is the case here?

Well, I know that's the case when it comes to individual threads here, so it probably is the same for the forums themselves, yeah.