I have a new iPhone 5 and the alerts are not there either.
I updated my AT&T iPhone 4 to iOS 6 yesterday. There is no Settings > Notifications > Government Alerts. Is this iOS 6 feature not supported on iPhone 4, or does AT&T disable it?
AT&T does now. Says iPhone 5 and 4s, but it happened to 2 of my iPhone 4's: