Siri to set Reminder and then Reminder app will notify you through Notifications

1. Siri will set the Reminder.
2. Reminder app will remind you through notification.

Check following settings. (all three are mandatory for it to work)

Notifications: Settings > Notifications > Reminders (See the GIF below)

Reminder: Settings > Reminder > Default List > iCloud (Tick what ever reminder list you may have) See the GIF below

Siri: Settings > Siri & Search > Allow Siri When Locked [Enable] See the GIF below