Is there a way for alexa to tell me when SHM is setting?

Several ways to make Alexa speak. All of the below is based on using the Classic SmartThings App to install custom code. Not that big of a “to-do” and well worth it!

You can use an Alexa Virtual Switch/Contact to turn on/off based on mode and/or SHM status.

You can then use an Alexa routine to say something.

You can use webCoRE and EchoSpeaks.

https://community.smartthings.com/t/release-echo-speaks/142252

You can use SmartLighting as well.