I just read through the documentation for Payment Failed Emails which says:
A notification is sent to the customer if the payment method that is chosen during checkout fails to complete the transaction.
What does this really mean? Is an email sent is during the checkout? Or after the checkout and payment is completed and for some reason, the payment method does not work?
I've just set it up in a sample Magento 2.1.0 and no emails are sent when there are payment errors. Just a brief message saying
Unable to place order. Please try again pops up and disappears.