As it says in the docstring in Mailman/Handlers/Emergency.py
"""Put an emergency hold on all messages otherwise approved.
No notices are sent to either the sender or the list owner for emergency holds. I think they'd be too obnoxious. """
If you really want this, I've attached a patch that will do it.
** Changed in: mailman Status: New => Won't Fix
** Changed in: mailman Assignee: (unassigned) => Mark Sapiro (msapiro)