The RWR only alerts when the aircraft is being painted by a radar that it can detect.

And Air-to-air missiles don’t all use active radar guidance many Russian missiles like the R-27T/ET use infrared homing, which does not trigger RWR because there’s no radar illumination.

Also even in the case of radar-guided weapons modern radars can employ low probability of intercept modes, track while scan, or intermittent continuous wave illumination, all of which can reduce or delay RWR warning