If I understand correctly, you're asking why there was no warning message concerning the alarm system as there was for the light bulb?

The MB engineers are the only ones who can answer that definitively. IMHO, the driver should be alerted ASAP if an exterior light isn't working. That's why the lights are continuously monitored for proper operation. The same is true for the alarm siren, but it was decided that instead of alerting the driver by means of a message in the instrument cluster a fault code would be stored, which would be found during an SDS diagnosis.