Last week, I saw a comment wishing that the alarm would work while in sleep tracking mode. I thought my Band already did this, but the other person swore that it didn't. I couldn't test it at the time because my Band had been sent in for warranty.
I got my replacement Band two days ago and received this new firmware update before I could start using it. My alarm went off this morning while in sleep tracking mode. If this wasn't a feature before, it might be one of the updates, but I still think that other commenter was wrong about the alarm not working in sleep tracking mode.