@Kevin_Z Turned out that the official guide for this is not correct. You have to create Parental control group. When new device is connected and it is not in parental control group you will get...

Hi, Router AX73 is advertised with connection alerts https://www.tp-link.com/bg/home-networking/wifi-router/archer-ax73/ but when I open the Tether app and I go to tools Connection Alerts is missing....