Hi, yes, there is a way to ensure that you receive notifications even while the screen is off. First, go to Settings, tap on Notifications, then Notification Pop Up Style, and then ensure "Show even while screen is off" is turned on. I have attached screenshots to show how to get to these settings. Hope this helps!
When you're in the "Notification Pop up style" settings, I believe you need to tap on "Detailed" instead of "Brief" for your notification style. š Photo attached again for reference. 
Thanks for the reply.
When detailed is selected the options disappear.
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Sorry, I may have originally misunderstood you. Here is where I found what I think you are looking for. š
Tap on Settings, tap into Wallpaper and Style, tap on the image that shows your lock screen (on the left), tap on the notification icons, then tap on "Details" option at bottom right corner of the screen. Make sure you save this selection by tapping "Done" at the top right of the screen. You should be good now! I am attaching screenshots but have to save in separate posts because they only let me attach a maximum of 5.
Tap on Settings, tap into Wallpaper and Style, tap on the image that shows your lock screen (on the left), tap on the notification icons, then tap on "Details" option at bottom right corner of the screen. Make sure you save this selection by tapping "Done" at the top right of the screen. You should be good now! I am attaching screenshots but have to save in separate posts because they only let me attach a maximum of 5.
Here are the last two steps. 
Weird, I don't see the notification box on my lockscreen edit page.
