I'm having this issue as well on IOS 6. I have another iPhone running iOS 5.1.1, and it does not show alerts when alerts are created, modified, or deleted in shared calendars. I have Settings>Mail, Contacts, Calendars>Shared Calendar Alerts>Off
iOS 5.1.1 did not have the "Shared Calendar Alerts" setting. The only setting that it has is "New Invitation Alerts," which is turned on. I want to see invitation alerts for the events that I'm invited to, but I don't want to be alerted every time someone who shares his/her calendar with me makes a change in his/her calendar as long as I'm not invited to that event, I don't need to be alerted to it. It seems that iOS 5.1.1 had the "Shared Calendar Alerts" turned off by default, and there was no way to turn it on. Somone decided to create this feature, but they did not implement the "off" toggle correctly, and this feature is always "on" in iOS 6.
Another one of my pet pieves is when I get alerted about an event in someone's calendar based on the alert they set up for themselves. I don't care if someone who shared his/her calendar with me is going to have a dentist appointment in 30 min. Why should I be alerted to this? There's not even a setting to turn this off!
Before iCloud came out last year, my wife and I used Google calendar, and the alerts in my calendar would never appear on her devices, or vice versa. Why can't Apple figure out such trivial tasks?