sp_Blitz does not warn "No Alerts for Corruption" if one of 3 is set
Correct. The finding is "No Alerts for Corruption". If you've set up alerts for any of those, we assume you know what you're doing. (That's not always the case, of course, heh.)

If you'd like to change that, here's the guide on contributing to sp_Blitz.

(Disclaimer: I'm Brent Ozar, the script author.)