There is a bug with the "Stores" and "DRM" tabs when creating a new alert. When you expand it, all stores and/or DRM are checked, while the button next to the search box is set to "Turn all on". When you click it once, nothing happens except a change in the status of the button itself. Only when you click it again, when the correct value is set, i.e. "Turn all off", then it works properly.
Video showing the problem: click.