It is a bit unclear what causes the different systems to show or not show the warning.
Only a very little bit unclear… 
Requirements to receive/display Cell-Broadcast messages:
- OS that supports TS 23.041 : Sailfish OS: (ok)
- (optional): OS that supports 3 and 4 digits CB-Message ID’s in specific countries: Sailfish OS: (ok)
- active login into cell, no flight-mode, no dead-zone exact at the moment the cell sends cell broadcast (no repetition/re-sending)
- firmware of the manufacturer has to support CB. That is the most critical thing, because even within the same series there are models with firmware support and models without firmware support, e.g. Sony Xperia XA2 (single SIM, model H3113) does not support CB, Xperia XA2 (Plus dual/Ultra dual model H4413, H4213) do support CB
For a quick overview, have a look at: Cell Broadcast: Empfangsfähige Geräte - BBK