We have enabled the Modern UX. But we notice that the out of the box notifications (that are defined under Administration -> Notifications), still provide links to the Classic UI. Timesheet notifications are an exception.
Version: 15.9.2
This behaviour is currently a limitation. There is already an idea present in the tracker (managed by the Product Management team) to enhance this functionality. Please ask your company's representative to up vote the idea so that it is prioritized.