Welcome to the Icinga community.
I’ve just verified again and master as well a satellites are only sending notifications for their objects. All instances use their locally installed MTA.
There might be a mistake within your config? Maybe the ZoneName const in constants.conf is wrong. You could verify your objects e.g.:
icinga2 object list -t notification | grep Object
on every node. Each node should only have notification objects for their own host objects.