New user. I had the same problem but found the SOLUTION.
Settings>Display>Edge screen>Tap EDGE LIGHTING>Tap MANAGE NOTIFICATIONS> Move slider to ON.
Also if you haven't already, download EDGE LIGHTING PLUS from Galaxy App store for more customizable options.
I just got my phone 1 week ago and I can't get to work for anything I try and yes edge lighting on is on , always, and all apps, and thick so I know I'm not missing it
I noticed with WhatsApp it seems to be that you have to allow setting "show popups" in WhatsApp's notification settings. After this the edge lighting for WhatsApp should work. Of course the tradeoff is those horrible popups when you open the screen but...
I bought my Note 9 3 days ago. I've double, triple, and quadruple checked all my settings and my edge lighting does not work either. Everything is updated too, so I'm a bit stumped as to why it's not working