This feature is easily set through the menu on your ships controls:
To do so, click the icon with horizontal bars underneath your module icons and choose "Configure Ship Health Alert Settings".
Next, you are given a dialog to choose which alerts you wish to receive, and at what threshold.
Unchecking the boxes will turn the alert off.
Moving the slider will adjust when the alert sounds.
This gives you a lot of flexibility to get the warnings you want. For example, armor tankers may not wish to have a shield warning, as they often spend a lot of time low in shields and it could get annoying. Or maybe you do want it to remind you to put your armour repairer on. The options are there to set it up how it works best for you.