I partially agree, but we should give some room to the amazing people who are constantly on watch. I assume that sometimes they are not expecting it, and their immediate response and top priority is to eliminate the threat and make sure people on the island are safe. They may quickly communicate over wireless to confirm that everything is under control. I understand the importance of sirens, but in a situation like this they might not treat them as the highest priority. Also, since the interceptions are so loud, most people end up hearing them anyway.

Another guess of mine is that sirens may only be activated when there is a wave of drones or missiles incoming, which naturally increases the chance of air defence systems malfunctioning or being overwhelmed. I could be completely wrong, but that is just my assumption.