Do I get alerts on my phone if a Sentry event occurs?

Short answer: no, at least not without any third party products. You’ll get an alert if the vehicle’s alarm goes off (assuming your app notification settings allow it), but not for Sentry events.

However, there is a third party product called SentryPro which lets you do this. They have a blog post with more information here. This is mentioned for your information, the Tesla Owners Club of Maryland has no relationship with SentryPro or offers any endorsement or recommendation. It does look interesting, though.