I have no incoming call notification on a Rainbow user associated to a set which supervises another set.
This configuration and type of call management is not supported with Rainbow.
How to fix the issue
No fix available for this issue, it's a restriction.
Supervision is not supported and will not be supported with Rainbow.
It's possible to use hunting groups to achieve a similar call management but note that as of today it has a few restrictions too. Please contact your support team in case you need more information on this configuration.