Is there an alarm on the device that will alert me if my oxygen levels drop below a set threshold?

Yes, you can set an alarm on the watch itself if your oxygen level drops below a certain threshold.

To do this, you will double tap the side button on the watch > press the side button to scroll down to the line that says alert and hold the button until the blue highlight turns yellow > then you will press the button to switch to "yes" > long press the side button to unhighlight and exit the menu