@Karun Khanna
The Alert Policy is used to record sensitive operations and notify the specified person such as administrator. It isn't used to inform user that he has permission to access other mailbox.
If the alert policy doesn't working in your tenant, you could open a service request to Office 365 team, they will help you to narrow down it.
@Vasil Michev I removed domain name from your screenshots, I would suggest you have a check about it before posting screenshots in forum.
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