Unlike the X-Chat on X11, by default, X-Chat Aqua (v0.16.0) does not notify you when somebody talks to you, or your interested keywords are mentioned in the chat. To enable it, in [Preferences]->[Chatting]->[Events/Sounds]:
| Sound File | G | B | S | |
| Channel Msg Hilight | any.aiff | - | - | √ |
| Private Message | any.aiff | - | - | √ |
| Private Message to Dialog | any.aiff | - | - | √ |
Another tip, you could enable "Tab-key completion", in [Preferences]->[Interface]->[Input box], so that you could use 'tab' key to complete the nickname.