I think I see your confusion Tom. There's no point generating alerts for air tags that aren't in your proximity for a considerable amount of time, otherwise you'd just getting junk notifications all the time from incompletely set up airtags.
I just purchased a Samsung Galaxy S23 Ultra for my main phone and just purchased 4 airtags. I kept an airtag on my keychain, and after going into work the next morning, it detected that an airtag was tracking me and sent me a notification. I opened it up and tested the play sound feature, which ended up working. See screenshot.