Best answer by Dinh
I don't think you can opt out while you are in Canada https://www.cbc.ca/news/technology/emergency-alerts-system-phones-canada-1.4586367
"There is no sign-up or opt-in required. Emergency alerts will be automatically sent through these broadcast channels, and to your compatible wireless device.
You cannot opt out of receiving threat-to-life emergency alerts. This is for your safety. "