The PID alarm contacts are not an output as such, just relay contacts which close when the alarm set point is reached (or exceeded) and open again when the temperature falls below the alarm temperature
As such, they can be used to switch whatever you want. Their contact rating is quite low though so best to use them to control a larger relay then use that to switch your strobe/klaxon or whatever.
If you use a simple latching circuit (easily achieved with a Double Throw relay then, once it has been activated by the PID alarm, it will stay activated until cleared manually, even if the temperature falls below the alarm point again.
On my PIDs, the alarm temperature setting is not an absolute temperature, rather it is a number of degrees above the set value.
Ie, if I want the set value to be 65C and the alarm to go off at 70C, I have to enter +5 as the alarm figure as opposed to 70. That took me a while to decipher from the translated chinese instructions. Thankfully I tested it by putting the thermocouples in boiling water and wondered why the alarm wasn't activated.
By putting +70 in, I was basically setting the alarm to be 135C !!