It's for your own good, more or less. But maybe not like you'd think: the entire chain of alarums and alerts is only tested as a complete system just this once, each Spring. It's only slightly automatic; there's a lot of human intervention -- or out at the ends where you and I notice it, sometimes far too little human intervention in the form of maintenance.* This is the one chance to catch the more egregious faults before tornado season starts. If you notice it enough to be a bit annoyed, that's a good thing: it means it worked. Heading to the basement is optional.
* Some years ago, the city of Kokomo found their siren system had major gaps in the form of failed units and shifting population, and after crunching the numbers, realized it was more cost-effective to hand out a weather radio to everyone in town! Hey, whatever works.