Subject says it all. I double checked it was on (green) and re-synced with phone. Did hard reset (held button down for 15 seconds until watch turns off, then turn back on).
At least 3 days in a row it did not work.
I deleted the alarm and created a new (same time). I assume this new one will work but who knows?
I realize this is not the end of the world, but it's very annoying.
An alarm on the watch is a simple feature that should not be difficult to get right.
I did call this in to Garmin and they said they are aware of the problem -- it should be fixed soon.