There is a slight delay when the phone and headset begin to communicate for A2DP audio. Usually, things like calendar and SMS alerts are too short to be heard in the headset. You'll notice that if you are actively listening to music streaming to the headset from the phone or having a conversation, you will hear the alerts.
If you don't use your headset to stream audio, and only use it for phone calls. Disable A2DP on the headset. You will hear the alerts from the phone speaker in that case. You will probably never get the alerts on the headset unless you're actively listening to something already.