This seems strange. I have enabled everything, got messages also in the US like amber alert but never in germany incl. Hamburg. I thought this is not used here in germany (see other comments here e.g.)? Do you have some source of your information?
It worked for me, and I got the warnings in German. My phone is all English. I remember clearly, because it threw me off in the beginning. I haven't received any this year, maybe it was a test?