I was wrong - I thought PDX Bus had a bug in iOS5 that was stopping the alarms from working...
You actually have to configure the device to allow notifications for each app, even local notifications. It was off by default for me, but it may not be for you...
So, when you upgrade to iOS5, please check the notification settings for PDX Bus to ensure they are on.
(From the settings app, choose Notifications then PDX Bus, see picture below)