When a user clicks on Forgot Password the email is sent the to the Customer Service email configured in Admin.
You can change this e-mail address in Admin. Click Configure, then go to Basic Settings. Under Customer Service Email, type in the e-mail address where notifications should be sent from, then click OK.
Make sure customers are allowing e-mails from your Customer Service e-mail and its corresponding domain. It is also a good idea to have customers check their e-mail SPAM folder if they have not received an e-mail they were expecting.