Guidelines for when to auto-save settings vs "save" button

In our web application we have a number of pages to do with user settings, in different categories. For most of them we have a display page with an edit button/link, which takes them to a form which has a cancel/save exit path.

However, for one category of settings we do something different. For the alerts & notifications settings we show all the alerts they can have, and present the controls to turn them on/off individually right there, as well as change their respective options (eg. email address to use as destination). There is no save button/link, the changes take effect immediately. We did this because the typical scenario is the user will want to tweak just the one alert setting, rather than review and edit the lot as a batch. We also recognised that a "save" button would likely be below the window-fold and thus be missed, and we really didn't want to put a save button against each set of alert settings.

We're a bit worried the user might be puzzled by the lack of a save button.

What are some guidelines and arguments for and against some setting changes having an immediate effect?