Welcome, @awmhove, to the Ubuntu MATE Community! 
For some reason that is beyond me 
(probably oversight on a developer's part), currently the MATE Power Manager does not have an option in the graphical configuration that lets you set the level at which the computer warns you of a low battery 
. You can, however, set the level from the terminal (Menu on the top panel -> Terminal) using:
gsettings set org.mate.power-manager percentage-low [percentage]
Replace [percentage] with the percentage of battery power remaining when you want the computer to warn you with a notification. This number is by default 10%.
Please read this note about the percentage notification and battery life: If the system shuts down before you even get to the 10% of battery power remaining mark, this indicates that the battery is on its way out. A HP laptop I used at one time not so long ago started doing exactly that, and within three weeks the battery couldn't accept a single charge anymore. So you can set the notification to warn you at 20% for example, but expect the battery to totally fail before you know it.
There is also the possibility that you simply have notifications turned off. (See Broken popup notifications for a recent example of this.) You can go to the main menu and search for Notifications, click on the entry which reads something like Popup Notifications, and in the dialog that pops up, ensure that the checkbox "Enable Do Not Disturb" is unchecked. This is a common problem and does not suggest stupidity 
; I exhibit this behavior too, and I've heard (unconfirmed) reports that some MATE installations come with the option enabled by default!
I hope these suggestions work. Keep me posted (literally 
).