There are several pre-requisites for alerts to actually appear on the locked screen of machine:
1. The client should be built with the locked screen module support. To verify this, either re-run the client builder you used to compose the installation files, or just check whether DeskAlerts_service Windows service is running on the machine where the agent is installed.
2. The message should be sent with "High Priority" setting, which you can set up during the alert creation.
3. The target operating system should be Windows 7 / Windows 8.1 - the windows 10 currently doesn't allow any windows to be displayed over a locked screen - we are working on alternative mechanism to get the messages there.