Are they on? Go to Settings>Notifications and scroll down to the bottom. At the bottom you should see "Government Alerts". You can then turn on Amber Alerts and Emergency Alerts.
I've heard that it's also region to region basis, but it's odd others have it and you don't. As someone said perhaps they have 4S and you have the 5.
I have alerts on T-Mobile but the other day we had a severe thunderstorm watch that was pushed to me via my Weather Channel app but not the EAS. But then I'm not sure if it alerts to weather watches or just warnings.