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That's probably less of a settings issue and more like a classic Instagram bug that tons of people have. Instagram can be about as reliable as old gum sometimes - notifications either come through or they don't, no matter how you've set up your Close Friends list. Try completely uninstalling and reinstalling Instagram, or check whether your friend has their notification settings for Instagram sorted out. If none of that helps, I'd just let them know via DM that you posted something.

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