First, in your SmartThings App, do you have Alexa setup to discover all devices or do you manually add them. If you manually add them, you’ll need to add the new devices:
Fan Low
Fan Medium
Fan High
Second, whether you add them manually or all are discovered, you’ll need to run a discovery in Alexa. If you haven’t say “Alexa, discover my devices”
Alexa does have some low high keywords so I’m guessing that the devices have not been added and the commands are using the keywords.
Lastly as it seems you know, to use the devices you can call them like:
Alexa, Fan Low On
Alexa, Turn on Fan Low
Using the “Alexa set” command will not work. These devices look like regular on/off switches.