You will be notified whenever someone attempts to unlock the device - which can help to provide a timely warning that the device is in malicious hands, before the owner may have reported (or even noticed) its disappearance. The notification email will contain details on who used the device, which computer they used (including several hardware serial numbers suitable for uniquely identifying the machine), and whether the attempt to unlock the device was successful. See an example alert email.
To specify an alert email address, check "send email alerts" and enter an email address in the box below.
Note: each user configures a different email address for device alerts. So user Joe will see the address he has configured, where user Bob may see a completely different address (or none at all).