I have that setting, but it doesn't work in my country.

For some stupid reason, they've decided to send every time of warning message at the "Presidential Level" that's supposed to be reserved for crazy life or death kind of stuff.

The settings are in my phone, but can't actually do anything to the messages coming in.

So I disabled the entire system from my phone and downloaded an app that gives me alerts. Now I'm getting weather alerts again. Haven't had the opportunity to test whether it'll alert me to emergencies yet, thankfully. But I've turned off Amber Alerts in the app.