I looked into this when this discussion was going on last. Screenshots were shared and I found out why some people saw the message being discussed here while others didn't.
Based on comments in in the resource files, I think different governments may have requirements for specific messages to be displayed. In this case, the message that Andrea is asking about only shows up for people in a specific country (I forget if it's based on the SIM card or which country the device detects it's in). The message is simply saying that the most extreme kinds of alerts cannot be disabled, which is true on AOSP, not GrapheneOS.
Not all users will see a message where Andrea is seeing the one that's being asked about. I don't see one. There are different messages for different countries that do have a message there. For example, I recall Japan's says something about natural disasters and doesn't say anything about users not being able to disable the most extreme alerts.
I have shared my findings with the developers, so they're aware of the inaccurate message there and why it only shows up for some users. But keep in mind what I said about messages displayed in that spot don't all say the same thing and that the comments indicate AOSP is required to display certain messages. I'm not sure how the developers will want to address the inaccurate message there. Displaying no messages there may not be the best idea.