I turned those off at the system level because the local authorities would abuse them to announce allegations of kidnapping, or license plate numbers of people who supposedly shot at cops and other such things that are not a threat to my life or safety (and thus not my business).
Apple, fortunately, in iOS 15 broke out the categories so you can turn off the "we want you to pay attention to this" crap from the police separately from the "here is critical information about something that might kill you".
Having them on the same category/priority before was massively irresponsible on the part of the police. I'm glad people with enough sense to understand alert fatigue eventually prevailed.
That may be really important information, but it doesn't rise to the level of an emergency.
However these types of messages are often sent out by our local dept of Emergency Management, or Health Dept, both of which do have access to EAS just like the police.
You didn't get a phone alert about it happening? I thought those were mandatory for these kinds of events, I think they even overrule some of the DND rules on your phone.
I had something similar happen this summer, and I can't remember if I woke up from the alert and went back to sleep or woke up to a missed alert, but I definitely got more information on my phone without ever asking for it.