That gets me to set the Alert Tone and Alert Light for an active channel, which is for "regular" transmissions. What I was looking for is when the Emergency button is pressed on a radio.
For whatever reason, it appears you can only set this on a system once you bring it into a favorites list.
Edit the favorites list, highlight the system in the left pane (the "tree view"). On the right side, find the tab marked "Options", and there you are.