This is really bad … almost makes product useless - most junk mail filtering seems to catch the antispam alert messages as spam themselves - so it is quite likely the sender of email to you will never get (or even if they do get won’t read) the alert email. I think this is partly due to the “To” being set as the email address the alert was sent from rather than who it went to … for info my test ASA got tagged with
Can confirm this has not been a problem in my experience, though note that measures in the wish list to reduce the number of challenge emails that need to be sent, are potentially important in this respect.