Status change: You will receive a notifcation when a server has a change in status. So from online -> offline or offline -> online.
Offline: You will receive a notification when a server goes offline for the *FIRST TIME ONLY*. For example, your cronjob is every 15 mins and your server goes down at 1 am and stays down till 6 am. You will get 1 notification at 1 am and thats it.
Always: You will receive a notification every time the script runs and a site is down, even if the site has been offline for hours.