If you are referring to alarm set from the phone, my guess would be that you don't get the alert in sleep mode because the Band cuts off incoming notifications from your phone so that your sleep is not disturbed by emaill, text messages, etc.
They probably could come up with a way to allow certain notifications to come through, but I don't know if that is a very common issue among users. You do, however, have the option of setting the alarm directly on the Band. Even while tracking sleep, the Band's internal alarm still goes off at the designated time.