Do you mean you don't receive them or you simply don't see a banner/alert appear over the call (while the notification still comes in and can be seen in Notification Center, for example)?
A little late in my response here, better than never... I'm referring to the latter of what you said.
If the device is on an active call and locked, the device may vibrate and light up, but no banner/alert is shown.... You
would see this alert in the Notification Center.