I'm pretty sure you have to set the alarm on the actual device that you want it to go off on. If you want Dot to sound off, you need to tell Dot to set the alarm. If you want your Kindle Fire Alexa alarm to go off, you need to set it on that device.
BTW, you need to set the alarm volume from the app. You can have your device volume on low and the alarm on high if desired.
I don't like my volume on my Kindle Fire most of the time either. So I have to remember to turn it on before I use the Alexa feature.