If there are existing alarms when you changed the default alarm sound, they won't be affected (as you may want different alarms to have different sounds). You need to do this for each existing alarm you want to change:
1) Go to Reminders & Alarms in the Alexa app
2) Tap the alarm you want to change
3) Tap on Alarm Sound
4) Tap the back button
5) Click on Save Changes