They are driving me insane!
I have set my device to be in priority mode indefinitely, and also set downtime for every day of the week from 7am to 7am the next day.
I have customized notifications so that only gmail, my work email app can show when priority mode is on, and set the general notification settings to show only calls and messages when priority mode is active.
I am still getting notifications for anything, and it is particularly annoying.