Virtual reality (VR) platforms provide their users with immersive virtual environments, but disconnect them from real-world events. The increasing length of VR sessions can therefore be expected to boost users' needs to obtain information about external occurrences such as message arrival. Yet, how and when to present these real-world notifications to users engaged in VR activities remains underexplored. We conducted an experiment to investigate individuals' receptivity during four VR activities (Loading, 360 Video, Treasure Hunt, Rhythm Game) to message notifications delivered using three types of displays (head-mounted, controller, and movable panel). While higher engagement generally led to higher perceptions that notifications were ill-timed and/or disruptive, the suitability of notification displays to VR activities was influenced by the time-sensitiveness of VR content, overlapping use of modalities for delivering alerts, the display locations, and a requirement that the display be moved for notifications to be seen. Specific design suggestions are also provided.