In my experience with CarPlay, the "Alerts" volume is just for maps. To adjust Siri or call volume, you have to use your head unit's volume control while there should be sound, like when Siri is talking (or maybe when you're on a call - haven't tried that). At any other time, the volume control adjusts the media (music) volume.
There is no on screen display that lets you know what volume you're adjusting. I just learned this by trial and error. Unfortunately, there is no CarPlay manual, nor are there a "settings" menu, which would be nice to have. I hope Apple tweaks this in an update.