I think it's working as designed. Calls will always interrupt whatever source you've selected to play or even come through if the stereo is off. Essentially what happens is the stereo overrides your source and on/off setting and switches over to the phone as the source when a call comes through and reverts back to its previous state when the call ends.
Whereas all other phone sounds, be they alert sounds or music, will only come through the stereo if it's turned on and the phone is already selected as the source. There's nothing to override in this scenario, the stereo just plays whatever sound is sent via Bluetooth be it an alert or music.
And as said above, it's not like you can do anything about alerts while driving so there's no need for the stereo to switch sources just for alerts.
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