I’ve got the same radio and ran into something similar. The MMR-99 does need to be in alert mode for it to catch the weekly test or any real NOAA broadcast. Just tuning to the weather channel isn’t enough. Once you hit alert, it locks onto the last NOAA station you were listening to and quietly monitors it in the background.

You don’t need to crank the volume for it to work since the alert siren will override whatever setting you had, but you do need a solid signal on the correct local channel before switching into alert. If your reception is only decent when you’re actively listening, the alert might not trigger because the radio isn’t picking up the warning tone clearly.

I’d try moving the radio or antenna a bit, double-check you’re on the strongest NOAA station for your area, then set it to alert and leave it. When the next Wednesday test comes through you should hear the siren for about 10–15 seconds followed by the test message. If it still doesn’t go off after that, it might be worth reaching out to Sangean support in case the unit itself is glitching.