@410YI and @zparnell please check that this setting in the app is enabled.
To add to what mark says after you have applied the setting force close the app. It may take a few attempts.
It will also only apply to NEW alerts after the setting in the application is applied.
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I am having this issue. I have a Samsung Galaxy S23 Ultra and everything is turned on as in the pictures above. I have also restarted my phone.