How to enable Empathy chat room notifications?
It does not look to me like there is a way to enable notifications for this, at least not if you're using Unity.
However, you can set sounds to play whenever you receive a message under Edit > Preferences > Sounds:
However, you can have notifications displayed (whether you like it or not) if you use Empathy through GNOME Shell without your chat window being focused. A notification will appear at the bottom of the screen, showing the messages and even allowing you to type a reply.
I realize this amounts to my answer basically being "use sounds instead or switch your session", but that's the best I can come up with.