The file /var/ossec/logs/alerts/2018/May/ossec-alerts-10.log contains the expected alert:
** Alert 1525918296.0: mail - ossec,syscheck,
2018 May 10 04:11:36 mon->syscheck
Rule: 551 (level 7) -> 'Integrity checksum changed again (XXXXX).'
Integrity checksum changed for: '/usr/bin/wget'
Old md5sum was: '4fae3f5dd189c63f1f5ec4d2649a6ff9'
New md5sum is : '8044033594ed3a2b97bd4eb02770631e'
Old sha1sum was: '64e75194aaa4fcc2a887b08dc9ec4fa2454a65e0'
New sha1sum is : 'a399595018d8c0a1d267538b85d778f952d6c198'
The file /var/ossec/logs/ossec.log does not have any ossec-maild error messages that could indicate it had trouble sending the mail. There also is nothing in the spam folder.
This is the first time it happens and I wonder if anyone else had similar problems?