DST time change and setting an alarm for 2:30am

That is an interesting question, since any time between 2:00-3:00am do not really exist. At 2;00 am is really becomes 3:00am, so 2:30 is non-existent on that day. So, you don't need an alarm at 2:30, since there is no 2:30. If you have to be somewhere at 3:00 and wanted to set an alarm for 2:30 to get there, you would need to set it at 1:30, since at 2, it becomes 3.

Yup! One of those weird things that happens. Similar situation if you had an alarm set for 1:30 am in the fall when we "fall back". The alarm would go off at 1:30, but at 2, it becomes 1 again, and I guess the alarm would be valid for 1:30 again.