That Russia had a similar test. I got the notification on my phone. I think this is just a way of scaring people for no reason other than to keep people afraid and maintain control. These types of systems can be tested without making people’s phone make a scary sound with a warning message.
Discussion
I'm not sure which sources you'd trust, but if you just search something like "Russia tested emergency alert system too" you'll see a bunch of stories from the last couple of days. Here's one from Reuters, just for reference: https://www.reuters.com/world/europe/russia-conduct-emergency-public-warning-tests-wednesday-2023-10-04/
I guess maybe they didn't do phones in the same way, I'm not sure. It was just weird that both the US and Russia were doing emergency tests.