You have two separate email address settings at WordPress.com.
Blog notifications for the admin (like comment moderation, Likes, new subscriptions, etc) are sent to the email address at Settings -> General in the Dashboard.
Personal notifications (like comments on your post, subscription emails, and upgrade renewals) are sent to the email address at Users -> Personal Settings in the Dashboard.
Try changing it at http://wordpress.com/#!/settings/ first.
If that doesn't work, try Users -> Personal Settings in your blog's Dashboard.
Note: Issues Changing your E-mail Address > http://en.support.wordpress.com/email-address/#issues-changing-your-e-mail-address
If you have succeeded in getting that far but have no received an email confirmation please check your email client spam/junk mail filter. I have tagged this thread for a Staff follow-up.