Windows 7 comes with a lot of new Group Policies, which are linked to new features of the product.
Sometimes however Windows 7 does not work exactly the same way as previous versions, and enabling a GPO can have unexpected side effects:
‘Turn off all balloon notifications’ is supposed to mask annoying -or at least distracting- notifications from the user.
While it works as expected, a side effect is that you won’t get Prompted to change your password before it expires ! (or more precisely, you won’t be able to see the notification as it’s disabled)
One alternative is to re-enable the setting, and select Turn off feature advertisement balloon notifications to limit the number of notifications.