To access a specific phase’s settings you first need to click the settings wheel on the upper right side of your screen, then select the ‘Phases’-tab ...
... and click on the three little dots next to the name of the Phase where you wish to set the alert.
Once inside your Phase’s settings, scroll down the page until you find the Advanced options. Select the Late Alert option:
Once you’ve clicked on it, you’ll be able to choose how many minutes/hours/days a card will be allowed to stay on this phase before firing off the Late Alert.