Its a difficult one to debug, since there is information that is missing (from your point of view);
1) Is the alert actually sent (by the government)?
2) Is your service provider relaying it correctly?
3) Is your sim card properly registered with your service provider to receive the messages?
4) Is the alert being properly processed by your phone?
5) Is your phone actually connected to the correct network at the time of the alert?
The fact that these test alerts are sent only once a month makes it hard to debug all possibilities quickly.
The first thing you should do is verify whether or not that alert (i.e. yesterday's alert) was actually received by someone else with that carrier.
NO: problem is not with you, contact your carrier and alert them to the issue.
YES: switch sim cards with someone else for next month's test alert to determine if it is actually being sent to YOU. Set your phone with GrapheneOS (and somebody else's sim card) up to LOG the alert (i.e. "logcat").
IF (your phone does not receive but your card does): share your logs with GrapheneOS devs to see if they can see what is going wrong.
IF (your card does not receive): contact your carrier about this, something is messed up on their end.