You can setup different late alerts for each of your pipe's phases so, to set up a late alert, you need to access this phase's settings.
To access a specific phase’s settings, click on the gear icon in the upper right corner of the screen to open the settings sidebar, then select the 'phases' option.
After you do, select the phase you want to set up the late alert in by clicking on it.
Inside the phase’s settings page you'll find the advanced options. Select the late alert option to open it and edit how long you want cards to stay in this specific phase before they're tagged as late.
Hit save in the bottom of the phase's settings and that's it, your alert is all set up!