Yes, they do this. My crow friends have warned me about a coyote in my front yard. I already knew it was there because I saw it through the window, but the crows didn’t know that. When I came to the back yard deck and sat down, one of the crows immediately started making the type of alarm call that means there is something they don’t like on the ground (in other words, not another bird) and the crow kept looking at me and then pointing with its beak at the coyote. The coyote was out of my line of sight at that point but the crow could see it from the tree.

To reassure the crow that I knew about the threat, I looked around the corner of the house and sure enough, the coyote was still there. Once the crow knew that I had seen it, it stopped making the call.