What's the correct reaction?
No place in Belgium is free from risk.
A storm can cause damage anywhere, a fire can break out anywhere, etc.
To know what you can do in the event of an emergency, it is important to look up information about what risks may occur in your area. The general website of Belgium's National Crisis Center has a lot of information on what you can do before, during and after an emergency: www.crisiscenter.be.
Of course, the authorities will always notify you in the event of an emergency. Through BE-Alert, you get recommendations on what to do to get yourself to safety. It is very important to follow the instructions (e.g. close windows and doors or evacuate).