Today, Helsinki region was under drone alert with advice to stay indoors. It seems that the public warning system failed to notify a large number of users.

Not many information I could find but it seems you need to have latest version and always on location permissions to have a good chance of things working. However if you do, you'll probably notice battery drain and be spammed by low urgency alerts like traffic congestions.

The Finnish government recently agreed to finally adopt the standardized EU-Alert system by 2027 so there is hope for the future.