This is generally as expected. In content agnostic systems such as this, permission checks can only happen when we have the relevant entities. So we fetch the entries for the page in question and then filter them down to what's viewable. If nothing is viewable, you'll get this message (which is specifically there to handle this case).
It's worth mentioning that this would normally be fairly rare as it usually requires the content to be viewable by the user in question at the time the alert was generated and then for the content to no longer be viewable. If the content wasn't viewable (such as a mention in a forum the user can't view), then no alert is generated in the first place.