As there's one of those cell broadcast test-alarm days tomorrow (2025-09-11) in Germany I had a look in Main Menu/ Safety and Emergency/ Wireless emergency alerts.
Allowed all alerts in there.
In Modes/ Settings/Do Not Disturb/ I was able to add 'Wireless Emergency" as an app that ist allowed to interrupt checking permissions one by one.
So this is not an issue, a question for understanding GOS:
Default settings will not play/show cb-alarms in DND mode as the app is not allowed in dnd mode?
edit: added 'in DND mode'