In a certain group, in which I also happen to be a mod, I set myself to No Email in December, before these changes went into effect (this is in my activity log). Later, and I believe this was in early March, after the changes went into effect (it is not logged, but I remember why I wanted to start following messages there, and it had to do with something that occurred in early March), I set myself to Following Only. That was post-changes. So at that point, I believe the system tried, as described above by Mark, to force-set me to Individual Messages. But that seems not to have worked. I am marked Individual Messages in name only: on my Subscription page and my Member page (as seen by moderators). Whereas in the Member List (as seen by moderators) and in the My Groups page, I am still No Email. And that is the true setting, because I in fact receive no email.
What is happening is, when the Subscription page is loaded, we 'fix' the settings as they appear on the web page. We don't make any changes to the database at that time. That's why you're seeing one thing on that page, and something different on the other pages. The solution is to go into the database and fix existing subscriptions that have these configurations. I have a question about how I should do that, and I'll post in a new topic.