I was just setting up the Alert for Corruption.
Error 823 Error 824 Error 825
I just by chance added alert for Error 825 and ran sp_Blitz again. And the message for Finding "No Alert for Corruption" was not displayed for Error 823 and 824 !!
And I verified by only setting up 823 and ignoring 824 and 825, still the sp_Blitz does not report for other 2 missing (824 and 825) !!