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That's rather odd because here in the US we got the civil alert warning of a possible Tsunami. Perhaps it wasn't broadcast in your country.
look for the Emergency alerts app > WEA settings > is everything selected? did you had wifi and/or data on?
True, I did not get an alert on my Xperia Z1 during the tsunami in Chile 😞 My sister got the message in its Moto G and my brother on HTC One, but to me, I did not get anything.