When I inquired with T-Mobile why I wouldn’t have received the alert, I was told you won’t get alerts if you are connected to WiFi calling. Don’t know how accurate that is, but I’m connected to WiFi calling all day at work.
I'm on T-Mobile, connected to WiFi calling, and still got the alert. Three times on both my XS Max and Series 4 Watch. The watch doesn't even have cellular service activated at the moment yet it went off. And no, it wasn't just feeding me the alert from the phone because I wasn't even wearing the watch at the time.