PREAMBLE: the question is wildly obsolete. There\'s no more Google Checkout, no more Checkout API, and no more notification settings in Wallet Console.
I have
The support rep told me it's by design, I should implement account polling with notification history API.
Specifically: https://developers.google.com/checkout/developer/Google_Checkout_XML_API_Order_Report_API describes how to get the list of orders in given state
https://developers.google.com/checkout/developer/Google_Checkout_XML_API_Notification_History_API lets you retrieve order details (getting just the "new order" notification is sufficient in my case).
EDIT: you cannot use some parts of the Google Checkout API with Android Market orders (like marking as archived).
This is not documented. Related question here.