Hi NAJHR, and welcome to the Duo Community!
There is currently no functionality to email a user when their Duo user is locked out.
For applications protected that use the Duo Prompt however, there is an on screen red banner displayed in the Duo prompt notifying the user that they are locked out.
Given the only person able to do anything about a Duo user being locked out ,is the Administrator. We do email Administrators when users are locked out. These settings are governed as per the documentation here:
