When a discussion forum is set up, do all members receive a notification mail?

Yes. A mail informing users about the creation of discussion forum is sent to all the members of the project who have the Discussions (check box) selected as a monitored application.

Users can enable Discussions as a monitored application. To do that:

Go to My Workspace > My Page > Monitoring and select a project from the Edit Monitoring Subscriptions and Preferences pane.
Select the Monitored Applications tab.
Select the Discussions check box and click Save.

For more information about discussion forums, see Administer forums and mailing lists.