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Subscribe to the calendar in iCal and have a look at the events. Do they have the proper alarm settings, matching what you have in the Calendar Export section of the Settings page in OmniFocus for iPhone?

Wait, you looked in iCal or the Calendar application on the iPhone? I think you do need to open the iPhone Calendar app to get it to notice the alerts (or rebooting the iPhone might also do the trick, as pre-existing calendar notifications work normally even if you haven't launched the Calendar, which suggests they must be read at boot time, at least).