When logging of notifications is turned on, notifications from nm-applet are not saved there, unlike all other notifications (no, I did not accidentally block nm-applet in Applications list). It seems to me that they should be logged too.
I would presume that nm-applet classifies its notifications as "transient", which - by notification standards/specification - shall not be logged (xfce4-notifyd follows the specification there, see also: https://docs.xfce.org/apps/notifyd/spec). That is in any case the only reason for notifications not to be logged.
As you can see here notifications from nm-applet shall not be logged because they are indeed marked as "transient": https://github.com/pavlix/nm-applet/blob/master/src/applet.c#L894