They don’t technically support the sensors yet through Alexa, but they had a beta version of it pushed live a while ago and a few people got the sensors added. I’ve got mine on there too. Lucky us! Haha.
When people discovered it, Wyze removed the integration since it’s not yet ready for primetime, and since it was never “officially” released in the first place. Anyway, I can confirm that mine behaves the same way. I assume they’ll fix it before they actually release the production version of this feature.