Alerts for course points were not displayed in either mode - so that seems to be broken. I wonder if it's a bug in the Garmin Connect course creator, or if it's a bug in the F5X...
After years of living with Garmin's crappy/inadequate turn alerts for "follow course" mode, I finally made my own data field that not only shows the upcoming turn (and direction), but has more noticeable audio/vibration alerts. It's a mere bandaid on the gaping wound of navigation support, but it's better than the built-in functionality. Given that navigation is Garmin's "bread and butter", it's shocking to me that they seem to be content to have such a bad user experience here...
Nevertheless, here's the data field I made in case anyone else finds it useful: apps.garmin.com/.../6e4dd285-731e-4200-b236-bf878bf91b12