Why do I not get notifications to my MS band when unplugged with screen off?

[AC Question]

I have recently made the switch from Windows 10 to Android 6 and set up my MS band on my new device.

I am getting all the notifications I should be when the screen is on or the device is charging but not when screen is off and unplugged.

I have tried checking all the battery saver/optimisation settings and made sure the MS band app is not optimised.