This has been covered a few times before; you can see commentary from the team members in this thread: https://discuss.grapheneos.org/d/7965-understanding-wireless-emergency-alerts-app/6
I'm a former member of Skywatch and have spent a fair amount of time around the ham radio and disaster response volunteer groups, so I can give some context here. TL;DR it's not a big deal and don't worry about it.
The WEA app is a system app, bundled with AOSP, and the message you're seeing is part of that standard app. In almost all mobile OSes, it is correct: some alerts will always get through, regardless of your settings, because when the system was created in 2006, George Bush was still president, and the government mandated that the top tier of alerts, somewhat creepily called "Presidential Alerts", would always break through and could not be disabled by the end-user. It seemed a bit dystopian and reflective of the Bush admin's overreach at the time, but since then, it's never even been used in the US, so here in the States, it's kind of a non-issue (and really, if North Korea lobbed a nuke at us, would you really not want to know about it in a timely way?).
However, in Canada, for reasons that are frankly inscrutable to me as a Freedumb-Lovin' American, every alert is sent out using the Presidential category, including low-priority feel-good things like AMBER alerts. A few of the GOS devs are in Canada and rightly realized how ridiculous that is (being woken up at 4AM to be informed of a custody dispute is pretty clearly anti-user and probably causes more deaths via traffic accidents than it saves), so they built in a toggle that allows turning off even Presidential/National alerts. I think it might be the only distribution that has this functionality, which is awesome for Canadians, but if you're not in Canada, I think it's counterproductive to block these types of alerts, at least until some authoritarian jackass in the states realizes he can abuse it to send campaign messages.
Personally, I leave on all categories except AMBER (it's almost completely worthless, see here: https://www.sciencedirect.com/science/article/abs/pii/S0047235210001595) and tests (which are disabled by default). NWS tries pretty hard not to send alerts unless there's a real risk; the one exception I'm aware of is probably "flash flood alert" fatigue if you live in certain areas.
Regardless, though, it's of course your choice, and GOS gives you all the control you could want.