I am wondering if in the notification app there is a way to get notification immediately when the event is triggered or should i do these types of notifications via rules manager?
either will work immediately, depends on complexity of notification. You'll have access to more complex logic in RM4
I see two possibilities for problems, but none with the way you set up Notifications (that looks fine to me):
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Does Pushover work? If not, Notifications has no hope of sending a notification with it, either. Try going to "Devices", finding "Pushover" in the list, and doing a test on its device page. Put some text like "testing!" in the "Text" field (parameter) for the "Device Notification" command, then click the "Device Notification" button. You should get a notification; if not, this is the problem.
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Does the lock send "locked" and "unlocked" events to Hubitat reliably? Go to the device page for your lock, then look at the "Events" page/tab for history. If you don't see an "unlocked" event at the time when you think you unlocked it, then this is likely the problem. (Notifications, of course, cannot generate a notification for an event the hub never processes.) You could also watch the "Current States" section of the device page (not "Events") for the lock in real time: do you see it change from "locked" to "unlocked" and vice versa as expected?
The latter problem is particularly common with some Z-Wave locks. I'm not sure the Yale is one, but given that it's a lock, it's worth mentioning. (Zigbee locks don't seem to be this picky.) If yours is having problems, I'd make sure that anything at all Z-Wave-related works (e.g., unlocking or locking from Hubitat), and if not, consider basic troubleshooting like "rebooting" the lock (removing the batteries for a few seconds and re-inserting), making sure the batteries are good, or a more extreme measure like excluding and re-pairing. (Note that many locks require the hub to be close during pairing to complete secure pairing successfully.) If Z-Wave works sometimes, what does your mesh look like? Specifically, do you have any repeaters (like Z-Wave switches, plugs/outlets, or dedicated repeater devices), and if so, what kind? Beaming Z-Wave Plus (or Plus v2) repeaters are good for locks.
If it's Zigbee instead of Z-Wave, you can ignore some of what I said, but the general idea of device and network health is still applicable. 
if i create similar rule in rule machine it works fine. I just need a simple notification don't need the complexities of rule machine to be notified when a door is unlocked - that is what i thought notification app was for, simple notifications.
Just FYI i know i put this under novice but i have like 30 to 40 other rules and notifications setup that work fine.
Also wanted to add this is with zigbee module.
Good to know! In that case, I don't have any good guesses unless there was a glitch in the Notifications app. Maybe just going into it again and clicking "Done" will suffice, or perhaps re-creating the entire child app (removing this one and creating a new one to do the same thing) will if not?
At the very least, on the "app status" (gear icon) page, you should see something under "Event Subscriptions" for your lock. If not, that's definitely a problem; if not...not much you can do besides try again I suppose. 
I deleted the app and then recreated it and it started working fine....
