In the Notifications pane, I can choose Info or Warning and it will filter to only show notifications of those types. But when I select Alerts it will always say there are no notifications, even though in the unfiltered All Types view there are a few red Alerts. They appear to be labelled appropriately, appearing like this:

or

Any time I have an issue with Unraid it always seems to be user error, but I'm not sure why this isn't working. A very minor issue, but still slightly annoying.

Cannot reproduce; is this with or without Connect?

With Connect

Try without it to see if it's a Connect/API issue; I'm not using it:

Nope, no difference in the behavior unfortunately.