I am not receiving any messages from the form in the Contact Us dropdown in Denali theme!

The form uses the same exact function to send out messages used by the rest of WordPress. If messages are not being received, we strongly advise you to install a SMTP plugin to avoid your message from being spammed, as they usually are when being sent without SMTP.

There are several SMTP plugins available, we use Configure SMTP. Also be sure that the Send Notifications To input box on the Denali Settings page has your e-mail address.