I had a look through my phones (fold7, latest OneUI/android versions, Telstra eSim) emergency alert settings this morning and found that "critical alerts" were actually disabled, so I enabled them and sure enough the alert came through as expected.
Not sure if it would have worked the same way if I hadn’t enabled that setting, but there are a lot of settings in there for different types of emergency alerts, so I suspect there are going to be a few people who'd phones support it, but the options are disabled
my bosses phone is an old google pixel 4, it worked just fine too.