I did not get the warning when switching on, I think is was when putting ignition on only or something I forget now.
The siren is in the bulkhead and sealed, I just replaced mine but did cut the old one open and yes the batteries had leaked and melted the circuit board. I would be sure yours would be the same if you get that warning and it's the original one.
Located under the scuttle panel (engine bay where wipers sit) more on the passenger side, easy to get to and replace.
https://www.volvopartswebstore.com/s...rimLevel=24667
Number 2