Hi,
For the bank transfer, that's normal. The orders are created as "created" since there is no payment and you have to confirm manually the orders when the payment is received, and at that point, the "order status notification" email will be sent, like when the order is automatically confirmed by the worldpay payment plugin.
If you want an email to be sent to the customer when the orders are created, you should leave the "order creation notification" email activated.
If you want to have the order creation notification to be sent or not based on the payment method selected, you can add such code in the email:
<?php if($data->order_payment_method!="banktransfer") $mail->published=0; ?>
So the problem is with the payment notification coming from worldpay. I know that merchants using WorldPay usually use the Business Gateway plugin. And from your first message, it seems that you're using the Global gateway plugin. So make sure with worldpay that you're using the correct plugin. It might be why it doesn't work.
Also, as explained in the documentation link I gave, there is a debug setting in the payment method that you can activated so that you get debug data in the payment log. Did you do it ? What data did you get ? If you didn't get anything, then we ask to check the apache access log for the notification request. Did you do it ? What did you see there ?